Valuation and empirical analysis of currency options

Author:

Chuang Ming-Che,Wen Chin-Hsiang,Lin Shih-Kuei

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference22 articles.

1. Pricing foreign currency options under stochastic interest rates;Amin;Journal of International Money and Finance,1991

2. Triennial central bank survey, foreign exchange turnover in april 2013: Preliminary global results;Bank for International Settlements;Monetary and Economic Department,2013

3. The crash of 87: Was it expected? The evidence from options markets;Bates;The Journal of Finance,1991

4. Dollar jump fears, 1984-1992: Distributional abnormalities implicit in currency futures options;Bates;Journal of International Money and Finance,1996

5. Jumps and stochastic volatility: Exchange rate process implicit in Deutsche Mark options;Bates;Review of Financial Studies,1996

Cited by 3 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. Upside and downside correlated jump risk premia of currency options and expected returns;Financial Innovation;2023-05-03

2. An efficient method for pricing foreign currency options;Journal of International Financial Markets, Institutions and Money;2021-09

3. Valuation of European Style Compound Option Written on European Style Currency and Power Options;International Journal of Analysis and Applications;2020

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