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Pricing foreign currency options under stochastic interest rates

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Amin, Kaushik I.
Jarrow, Robert A.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 10 (1991)
Issue (Month): 3 (September)
Pages: 310-329
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Handle: RePEc:eee:jimfin:v:10:y:1991:i:3:p:310-329

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Ken Urai, 2006. "Social Recognition and Economic Equilibrium," Discussion Papers in Economics and Business 06-29, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  2. Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B 323, University of Bonn, Germany, revised Dec 1995. [Downloadable!]
  3. Kato, Toshiyasu & Yoshiba, Toshinao, 2000. "Model Risk and Its Control," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 129-57, December. [Downloadable!]
  4. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 69-121, March. [Downloadable!] (restricted)
  5. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal Investment Strategies under Inflation Risk," Research Paper Series 192, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  6. M. McAleer & J. M. Sequeira, 2004. "Efficient estimation and testing of oil futures contracts in a mutual offset system," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 953-962, September. [Downloadable!] (restricted)
  7. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  8. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," CIRJE F-Series CIRJE-F-474, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  9. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge. [Downloadable!]
  10. Akihiko Takahashi & Kohta Takehara, 2007. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-497, CIRJE, Faculty of Economics, University of Tokyo.
  11. Les Clewlow & Chris Strickland, 1999. "Valuing Energy Options in a One Factor Model Fitted to Forward Prices," Research Paper Series 10, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  12. Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany. [Downloadable!]
  13. Frederico Pechir Gomes & Marcelo Yoshio Takami & Vinicius Ratton Brandi, 2008. "Foreign Exchange Market Volatility Information: An Investigation of Real-Dollar Exchange Rate," Working Papers Series 174, Central Bank of Brazil, Research Department. [Downloadable!]
  14. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," NBER Working Papers 5623, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. Frey, Rüdiger & Daniel Sommer, 1995. "A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk," Discussion Paper Serie B 306, University of Bonn, Germany, revised Jun 1996. [Downloadable!]
  16. Peter Ritchken & L. Sankarasubramanian, 1992. "On Markovian representations of the term structure," Working Paper 9214, Federal Reserve Bank of Cleveland. [Downloadable!]
  17. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
    ," Working Papers 07-21, Bank of Canada. [Downloadable!]
  18. Lucy F. Ackert & Marie D. Racine, 1998. "Stochastic trends and cointegration in the market for equities," Working Paper 98-13, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
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