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On the use of European models to price American options on foreign currency

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  • Kuldeep Shastri
  • Kishore Tandon

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  • Kuldeep Shastri & Kishore Tandon, 1986. "On the use of European models to price American options on foreign currency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(1), pages 93-108, March.
    • Handle: RePEc:wly:jfutmk:v:6:y:1986:i:1:p:93-108
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    Cited by:

    1. Lyons, Richard K., 1988. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 91-108, March.
    2. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    3. Vivek Bhargava & Robert Brooks & D. K. Malhotra, 2001. "Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 231-246.
    4. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    5. Kuldeep Shastri & Kulpatra Wethyavivorn, 1987. "The Valuation Of Currency Options For Alternate Stochastic Processes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 283-293, December.
    6. Qing Ding & Lingxiu Dong & Panos Kouvelis, 2007. "On the Integration of Production and Financial Hedging Decisions in Global Markets," Operations Research, INFORMS, vol. 55(3), pages 470-489, June.

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