1. Orlin J. Grabbe, . "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 06-83, Wharton School Rodney L. White Center for Financial Research.
2. Robert E. Cumby & Maurice Obstfeld, 1981. "Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis," NBER Working Papers 0537, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Fama, Eugene F & Farber, Andre, 1979. "Money, Bonds, and Foreign Exchange," American Economic Review, American Economic Association, vol. 69(4), pages 639-49, September. [Downloadable!] (restricted)
4. Orlin Grabbe, J., 1983. "The pricing of call and put options on foreign exchange," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 239-253, December. [Downloadable!] (restricted)
5. Frankel, Jeffrey A., 1982. "In search of the exchange risk premium: A six-currency test assuming mean-variance optimization," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 255-274, January. [Downloadable!] (restricted)
6. Patell, James M. & Wolfson, Mark A., 1979. "Anticipated information releases reflected in call option prices," Journal of Accounting and Economics, Elsevier, vol. 1(2), pages 117-140, August. [Downloadable!] (restricted)
7. Geweke, John F & Feige, Edgar L, 1979. "Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 334-41, August. [Downloadable!] (restricted)
8. Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August. [Downloadable!] (restricted)
9. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August. [Downloadable!] (restricted)
10. Rahman, Abdul & Kryzanowski, Lawrence, 1986. "Alternative specifications of the errors in the Black-Scholes option-pricing model and various implied-variance formulas," Economics Letters, Elsevier, vol. 21(1), pages 61-65. [Downloadable!] (restricted)
11. Paul R. Krugman, 1981. "Consumption Preferences, Asset Demands, and Distribution Effects in International Financial Markets," NBER Working Papers 0651, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
12. Shastri, Kuldeep & Tandon, Kishore, 1986. "Valuation of Foreign Currency Options: Some Empirical Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 145-160, June. [Downloadable!]
13. Giovannini, Alberto & Jorion, Philippe, 1987. "Interest rates and risk premia in the stock market and in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 6(1), pages 107-123, March. [Downloadable!] (restricted)
14. Stulz, ReneM., 1982. "The forward exchange rate and macroeconomics," Journal of International Economics, Elsevier, vol. 12(3-4), pages 285-299, May. [Downloadable!] (restricted)
15. Frankel, Jeffrey & Engel, Charles M., 1984. "Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test," Journal of International Economics, Elsevier, vol. 17(3-4), pages 309-323, November. [Downloadable!] (restricted)
    Other versions:
    • Jeffrey A. Frankel & Charles Engel, 1985. "Do Asset-Demand Functions Optimize over the Mean and Variance of Real Returns? A Six-Currency Test," NBER Working Papers 1051, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
16. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September. [Downloadable!] (restricted)
17. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
18. Orlin J. Grabbe, . "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 6-83, Wharton School Rodney L. White Center for Financial Research.
19. Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-81, May. [Downloadable!] (restricted)
20. Bodurtha, James N, Jr & Courtadon, Georges R, 1986. " Efficiency Tests of the Foreign Currency Options Market," Journal of Finance, American Finance Association, vol. 41(1), pages 151-62, March. [Downloadable!] (restricted)
21. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
22. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December. [Downloadable!] (restricted)
23. Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September. [Downloadable!] (restricted)
24. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)

Cited by:
(explanations, 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.)

1. Jeffrey A. Frankel, 1988. "Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium," NBER Working Papers 2367, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Jeffrey A. Frankel., 1988. "Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium," Economics Working Papers 8866, University of California at Berkeley.
   • Frankel, Jeffrey A., 1988. "Recent estimates of time-variation in the conditional variance and in the exchange risk premium," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 115-125, March. [Downloadable!] (restricted)
2. Owen F. Humpage & William P. Osterberg, 1990. "Intervention and the foreign exchange risk premium: an empirical investigation of daily effects," Working Paper 9009, Federal Reserve Bank of Cleveland. [Downloadable!]
3. Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group. [Downloadable!]
4. Juann H. Hung, 1995. "Intervention strategies and exchange rate volatility: a noise trading perspective," Research Paper 9515, Federal Reserve Bank of New York. [Downloadable!]
5. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Paper 9207, Federal Reserve Bank of Cleveland. [Downloadable!]
6. Aron Gereben, 2002. "Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options," Reserve Bank of New Zealand Discussion Paper Series DP2002/04, Reserve Bank of New Zealand. [Downloadable!]
7. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999. [Downloadable!]
8. Shang-Jin Wei, 1994. "Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads," NBER Working Papers 4737, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Shang-Jin Wei, 1991. "Anticipations of foreign exchange volatility and bid-ask spreads," International Finance Discussion Papers 409, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
9. Shang-Jin Wei & Jeffrey A. Frankel, 1991. "Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?," NBER Working Papers 3910, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)