Efficiency of the foreign currency options market
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References listed on IDEAS
- Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-824, December.
- Halpern, Paul J & Turnbull, Stuart M, 1985. " Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options," Journal of Finance, American Finance Association, vol. 40(2), pages 481-500, June.
- Evnine, Jeremy & Rudd, Andrew, 1985. " Index Options: The Early Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 743-756, July.
- 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..
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- Bodurtha, James N, Jr & Courtadon, Georges R, 1986. " Efficiency Tests of the Foreign Currency Options Market," Journal of Finance, American Finance Association, vol. 41(1), pages 151-162, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Krishnamurti, Chandrasekhar & Hoque, Ariful, 2011. "Efficiency of European emissions markets: Lessons and implications," Energy Policy, Elsevier, vol. 39(10), pages 6575-6582, October.
- Ariful Hoque & Chandrasekhar Krishnamurti, 2012. "Modeling moneyness volatility in measuring exchange rate volatility," International Journal of Managerial Finance, Emerald Group Publishing, vol. 8(4), pages 365-380, September.
More about this item
KeywordsForeign currency options Lower boundary conditions Put-call parity Conditional variance Transaction costs;
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