Advanced Search
MyIDEAS: Login to save this article or follow this journal

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

Contents:

Author Info

  • Lieu, Derming
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6W4V-45GNT0M-3C/2/8d8e8dfb2f96e1b453d8e530b7f8a1a2
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 6 (1997)
    Issue (Month): 3 ()
    Pages: 259-286

    as in new window
    Handle: RePEc:eee:reveco:v:6:y:1997:i:3:p:259-286

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/inca/620165

    Related research

    Keywords:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    2. 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.
    3. Kassouf, Sheen T, 1969. "An Econometric Model for Option Price with Implications for Investors' Expectations and Audacity," Econometrica, Econometric Society, vol. 37(4), pages 685-94, October.
    4. 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.
    5. Angelo Melino & Stuart M. Turnbull, 1991. "The Pricing of Foreign Currency Options," Canadian Journal of Economics, Canadian Economics Association, vol. 24(2), pages 251-81, May.
    6. 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.
    7. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    8. Galai, Dan, 1977. "Tests of Market Efficiency of the Chicago Board Options Exchange," The Journal of Business, University of Chicago Press, vol. 50(2), pages 167-97, April.
    9. 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.
    10. Kassouf, S. T., 1976. "The lag structure of option price," Journal of Econometrics, Elsevier, vol. 4(4), pages 303-310, November.
    11. Bodurtha, James N. & Courtadon, Georges R., 1987. "Tests of an American Option Pricing Model on the Foreign Currency Options Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 153-167, June.
    12. 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.
    13. 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(01), pages 45-71, March.
    14. 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(03), pages 267-284, September.
    15. 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.
    16. 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.
    17. 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 1449-66, December.
    18. Richard J Rogalski & Joseph D Vinso, 1978. "Empirical Properties of Foreign Exchange Rates," Journal of International Business Studies, Palgrave Macmillan, vol. 9(2), pages 69-79, June.
    19. Parkinson, Michael, 1972. "Empirical Warrant-Stock Relationships," The Journal of Business, University of Chicago Press, vol. 45(4), pages 563-69, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:6:y:1997:i:3:p:259-286. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.