Siegel's Paradox and Pricing of Currency Options
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Bibliographic InfoPaper provided by Wharton School - Weiss Center for International Financial Research in its series Weiss Center Working Papers with number 93-8.
Length: 10 pages
Date of creation: 1993
Date of revision:
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Web page: http://finance.wharton.upenn.edu/weiss/
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- Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995.
"Realignment risk and currency option pricing in target zones,"
European Economic Review,
Elsevier, vol. 39(8), pages 1523-1544, October.
- Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993. "Realignment Risk and Currency Option Pricing in Target Zones," NBER Working Papers 4458, National Bureau of Economic Research, Inc.
- Bardhan, Indrajit, 1995. "Exchange rate shocks, currency options and the Siegel paradox," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 441-458, June.
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