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Exchange rate shocks, currency options and the Siegel paradox

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  • Bardhan, Indrajit
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-3Y45TKR-10/2/5bd95bde00b299e880bc6f2a88fa92c0
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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: 441-458

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    Handle: RePEc:eee:jimfin:v:14:y:1995:i:3:p:441-458

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

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    1. Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993. "Realignment Risk and Currency Option Pricing in Target Zones," NBER Working Papers 4458, National Bureau of Economic Research, Inc.
    2. Dumas, B. & Jennergren, L.P. & Naslund, B., 1993. "Siegel's Paradox and Pricing of Currency Options," Weiss Center Working Papers 93-8, Wharton School - Weiss Center for International Financial Research.
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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. Ekvall, Niklas & Peter Jennergren, L. & Naslund, Bertil, 1997. "Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model," European Journal of Operational Research, Elsevier, vol. 100(1), pages 41-59, July.
    3. Lioui, Abraham, 1998. "Currency risk hedging: Futures vs. forward," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 61-81, January.

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