Tests Of The Black-Scholes And Constant Elasticity Of Variance Currency Call Option Valuation Models
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References listed on IDEAS
- Johnson, Larry J, 1986. "Foreign-Currency Options, Ex Ante Exchange-Rate Volatility, and Market Efficiency: An Empirical Test," The Financial Review, Eastern Finance Association, vol. 21(4), pages 433-450, November.
- Emanuel, David C. & MacBeth, James D., 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(04), pages 533-554, November.
- Alan L. Tucker, 1985. "Empirical Tests Of The Efficiency Of The Currency Option Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 275-285, December.
- Beckers, Stan, 1980. " The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, American Finance Association, vol. 35(3), pages 661-673, June.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Hooper, Peter & Morton, John, 1982. "Fluctuations in the dollar: A model of nominal and real exchange rate determination," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 39-56, January.
- Laurie S. Goodman & Susan Ross & Frederick Schmidt, 1985. "Are foreign currency options overvalued? The early experience of the Philadelphia stock exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(3), pages 349-359, September.
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- Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
- repec:eee:quaeco:v:65:y:2017:i:c:p:355-362 is not listed on IDEAS
- David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
- Vajanne, Laura, . "The Exchange Rate Under Target Zones," ETLA A, The Research Institute of the Finnish Economy, number 16, May.
- 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.
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