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Siegel's Paradox and Pricing of Currency Options

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Author Info
Dumas, B.
Jennergren, L.P.
Naslund, B.

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Abstract

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Publisher Info
Paper provided by Wharton School - Weiss Center for International Financial Research in its series Weiss Center Working Papers with number 93-8.

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Length: 10 pages
Date of creation: 1993
Date of revision:
Handle: RePEc:fth:pennif:93-8

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Related research
Keywords: currencies ; investments;

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  1. 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. [Downloadable!] (restricted)
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