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A generalization of reset options pricing formulae with stochastic interest rates

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  • Li, Shu Jin
  • Li, Sheng Hong
  • Sun, Chao
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    File URL: http://www.sciencedirect.com/science/article/B7CPK-4J3NYG8-1/2/bc5f74e36d528d1168bf79390875107d
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    Bibliographic Info

    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 21 (2007)
    Issue (Month): 2 (June)
    Pages: 119-133

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    Handle: RePEc:eee:riibaf:v:21:y:2007:i:2:p:119-133

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    1. 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.
    2. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    3. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    4. Kang, Jangkoo & Kim, Hwa-Sung, 2005. "Pricing counterparty default risks: Applications to FRNs and vulnerable options," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 376-392.
    5. Amin, Kaushik I. & Jarrow, Robert A., 1991. "Pricing foreign currency options under stochastic interest rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 310-329, September.
    6. Amin, Kaushik I & Bodurtha, James N, Jr, 1995. "Discrete-Time Valuation of American Options with Stochastic Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 193-234.
    7. 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.
    8. Hilliard, Jimmy E. & Madura, Jeff & Tucker, Alan L., 1991. "Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(02), pages 139-151, June.
    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.
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