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Siegel's paradox and the pricing of currency options

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  • Dumas, Bernard
  • Jennergren, L. Peter
  • Naslund, Bertil

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Bibliographic Info

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

Volume (Year): 14 (1995)
Issue (Month): 2 (April)
Pages: 213-223

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Handle: RePEc:eee:jimfin:v:14:y:1995:i:2:p:213-223

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

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Cited by:
  1. Cao, Melanie, 2001. "Systematic jump risks in a small open economy: simultaneous equilibrium valuation of options on the market portfolio and the exchange rate," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 191-218, April.
  2. Kam Chu, 2005. "Solution to the Siegel Paradox," Open Economies Review, Springer, vol. 16(4), pages 399-405, October.
  3. Driessen, Joost & Perotti, Enrico C, 2004. "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers 4180, C.E.P.R. Discussion Papers.
  4. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 5.
  5. Andre Santos & Jorge A. Chan-Lau, 2006. "Currency Mismatches and Corporate Default Risk," IMF Working Papers 06/269, International Monetary Fund.
  6. Jose Giancarlo Gasha & Andre Santos & Jorge A. Chan-Lau & Carlos I. Medeiros & Marcos Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 09/162, International Monetary Fund.

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