Advanced Search
MyIDEAS: Login to save this article or follow this journal

Covered arbitrage with currency options: A theoretical analysis

Contents:

Author Info

  • Ghosh, Dilip K.
  • Ghosh, Dipasri
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6W4F-4GFN3XM-1/2/e08545232bf429cdf1ef666caddb254a
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 16 (2005)
    Issue (Month): 1 (August)
    Pages: 86-98

    as in new window
    Handle: RePEc:eee:glofin:v:16:y:2005:i:1:p:86-98

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/inca/620162

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, American Finance Association, vol. 27(2), pages 399-417, May.
    2. Orlin J. Grabbe, . "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 06-83, Wharton School Rodney L. White Center for Financial Research.
    3. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 83(2), pages 325-38, April.
    4. Deardorff, Alan V, 1979. "One-Way Arbitrage and Its Implications for the Foreign Exchange Markets," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 87(2), pages 351-64, April.
    5. Callier, Philippe, 1981. "One Way Arbitrage, Foreign Exchange and Securities Markets: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 36(5), pages 1177-86, December.
    6. Clinton, Kevin, 1988. "Transactions Costs and Covered Interest Arbitrage: Theory and Evidence," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(2), pages 358-70, April.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    8. Orlin J. Grabbe, . "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 6-83, Wharton School Rodney L. White Center for Financial Research.
    9. Jones, E. Philip, 1984. "Option arbitrage and strategy with large price changes," Journal of Financial Economics, Elsevier, Elsevier, vol. 13(1), pages 91-113, March.
    10. Orlin Grabbe, J., 1983. "The pricing of call and put options on foreign exchange," Journal of International Money and Finance, Elsevier, Elsevier, vol. 2(3), pages 239-253, December.
    11. D. K. Ghosh, 1997. "Arbitrage with hedging by forward contracts: exploited and exploitable profits," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(4), pages 349-361.
    12. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, Elsevier, vol. 2(3), pages 231-237, December.
    13. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 229-263, September.
    14. Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, American Finance Association, vol. 39(5), pages 1511-24, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp128, IIIS.
    2. Ghosh, Dilip K. & Ghosh, Dipasri & Bhatnagar, Chandra Shekhar, 2010. "Cross-listed cross-currency assets and arbitrage with forwards and options," Global Finance Journal, Elsevier, Elsevier, vol. 21(1), pages 98-110.
    3. Hoque, Ariful & Chan, Felix & Manzur, Meher, 2008. "Efficiency of the foreign currency options market," Global Finance Journal, Elsevier, Elsevier, vol. 19(2), pages 157-170.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:16:y:2005:i:1:p:86-98. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.