Efficiency of the foreign currency options market

Author:

Hoque Ariful,Chan Felix,Manzur Meher

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. Box spread and put–call test for the S&P 500 Index LEAPS market;Bharadwaj;Journal of Derivatives,2001

2. Transactions data tests of efficiency of the Chicago Board Options Exchange;Bhattacharya;Journal of Financial Economics,1983

3. Bank for International Settlements;BIS Quarterly Review,2006

4. Efficiency tests of the foreign currency options market;Bodurtha;The Journal of Finance,1986

5. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Pricing of European currency options considering the dynamic information costs;Global Finance Journal;2023-11

2. A Proposed Solution for the Chicken-Egg Dilemma in Pricing Currency Options;Australasian Accounting, Business and Finance Journal;2013

3. Asia-Pacific Currency Options Pricing Analysis;Procedia - Social and Behavioral Sciences;2012-12

4. Modeling moneyness volatility in measuring exchange rate volatility;International Journal of Managerial Finance;2012-09-21

5. Efficiency of European emissions markets: Lessons and implications;Energy Policy;2011-10

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