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Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models

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  • Lieu, Derming

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  • Lieu, Derming, 1997. "Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 259-286.
    • Handle: RePEc:eee:reveco:v:6:y:1997:i:3:p:259-286
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    4. Geske, Robert & Shastri, Kuldeep, 1985. "Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(1), pages 45-71, March.
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    6. MacBeth, James D & Merville, Larry J, 1980. "Tests of the Black-Scholes and Cox Call Option Valuation Models," Journal of Finance, American Finance Association, vol. 35(2), pages 285-301, May.
    7. Rush, David F & Melicher, Ronald W, 1974. "An Empirical Examination of Factors which Influence Warrant Prices," Journal of Finance, American Finance Association, vol. 29(5), pages 1449-1466, December.
    8. 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.
    9. Shastri, Kuldeep & Tandon, Kishore, 1985. "Arbitrage tests of the efficiency of the foreign currency options market," Journal of International Money and Finance, Elsevier, vol. 4(4), pages 455-468, December.
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    13. Chesney, Marc & Scott, Louis, 1989. "Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(3), pages 267-284, September.
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    15. Orlin J. Grabbe, "undated". "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.
    16. Kassouf, Sheen T, 1969. "An Econometric Model for Option Price with Implications for Investors' Expectations and Audacity," Econometrica, Econometric Society, vol. 37(4), pages 685-694, October.
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    19. 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 637-654, May-June.
    20. 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.
    21. MacBeth, James D & Merville, Larry J, 1979. "An Empirical Examination of the Black-Scholes Call Option Pricing Model," Journal of Finance, American Finance Association, vol. 34(5), pages 1173-1186, December.
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