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Easy · options_pricing · Quant Researcher interview question · garman_kohlhagen, fx_option, currency_option, black_scholes, options_pricing
The Garman-Kohlhagen model is a direct extension of the Black-Scholes-Merton framework for pricing European options on foreign exchange rates. It accounts for the interest rate differential between two currencies by treating the foreign risk-free rate as a continuous dividend yield. This model is a cornerstone for FX derivatives pricing and is fundamental for developing hedging and arbitrage strategies in currency markets. Task Implement the function garman_kohlhagen_fx_option(S, K, T, r_d, r_f