Tests of an American Option Pricing Model on the Foreign Currency Options Market
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 22 (1987)
Issue (Month): 02 (June)
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- Lee, Gabriel S. & Boss, Michael & Klisz, Chris, 2001. "Empirical Performance of the Czech and Hungarian Index Options under Jump," Economics Series 91, Institute for Advanced Studies.
- Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.
- El-Mekkaoui, Mazen & Flood, Mark D., 1998. "Put-call parity revisited: intradaily tests in the foreign currency options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 357-376, December.
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