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The Term Structure of Volatility in the Turkish Foreign Exchange : Implications for Option Pricing and Hedging Decisions

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Cem Aysoy
Ercan Balaban
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File URL: http://www.tcmb.gov.tr/research/discus/9613eng.pdf
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Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Discussion Papers with number 9613.

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Date of creation: 1996
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Handle: RePEc:tcb:dpaper:9613

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  1. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. David S. Bates, . "Testing Option Pricing Models," Rodney L. White Center for Financial Research Working Papers 14-95, Wharton School Rodney L. White Center for Financial Research.
  3. 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. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
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  1. Mehmet Horasanli, 2006. "Predictability of Turkish Foreign Exchange and its Implications to Option Pricing and Arbitrage Opportunities," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 1-10. [Downloadable!]
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