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Misspecification and the pricing and hedging of long-term foreign currency options

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Author Info
Melino, Angelo
Turnbull, Stuart M.

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

Volume (Year): 14 (1995)
Issue (Month): 3 (June)
Pages: 373-393
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Handle: RePEc:eee:jimfin:v:14:y:1995:i:3:p:373-393

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

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  1. Canadian Macro Study Group
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  1. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany. [Downloadable!]
  2. Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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This page was last updated on 2009-11-16.

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