Bounds and prices of currency cross-rate options-Reference-Cited by-同舟云学术

Bounds and prices of currency cross-rate options

Published:2008-05 Issue:5 Volume:32 Page:631-642
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Chung San-Lin,Wang Yaw-Huei

Funder

National Science Council

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference26 articles.

1. Spanning and derivative-security valuation;Bakshi;Journal Financial Economics,2000

2. Stock return characteristics, skew laws, and the differential pricing of individual equity options;Bakshi;Review of Financial Studies,2003

3. Bakshi, G., Carr, P., Wu, L., forthcoming. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. Journal of Financial Economics.

4. Decreasing absolute risk aversion and option pricing bounds;Basso;Management Science,1997

5. General properties of option prices;Bergman;Journal of Finance,1996

Cited by 14 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. Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility;European Journal of Operational Research;2024-05

2. Rebalancing static super-replications;International Journal of Financial Engineering;2017-03

3. Pricing Bounds on Quanto Options;The Journal of Derivatives;2015-11-30

4. ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES;International Journal of Theoretical and Applied Finance;2013-09

5. Super-Hedging with Young’s Inequality;SSRN Electronic Journal;2012