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An empirical examination of currency futures options under stochastic interest rates

Listed author(s):
  • Poon, Winnie P. H.
  • Duett, Edwin H.
Registered author(s):

    No abstract is available for this item.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1044-0283(98)90013-8
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 9 (1998)
    Issue (Month): 1 ()
    Pages: 29-50

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    Handle: RePEc:eee:glofin:v:9:y:1998:i:1:p:29-50
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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    1. Brenner, Menachem & Courtadon, Georges & Subrahmanyam, Marti, 1985. " Options on the Spot and Options on Futures," Journal of Finance, American Finance Association, vol. 40(5), pages 1303-1317, December.
    2. Ogden, Joseph P. & Tucker, Alan L., 1988. "The Relative Valuation of American Currency Spot and Futures Options: Theory and Empirical Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(04), pages 351-368, December.
    3. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
    4. Galai, Dan, 1978. "Empirical tests of boundary conditions for CBOE options," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 187-211.
    5. Hilliard, Jimmy E. & Madura, Jeff & Tucker, Alan L., 1991. "Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(02), pages 139-151, June.
    6. Bailey, Warren Bernard, 1987. " An Empirical Investigation of the Market for Comex Gold Futures Options," Journal of Finance, American Finance Association, vol. 42(5), pages 1187-1194, December.
    7. Whaley, Robert E., 1982. "Valuation of American call options on dividend-paying stocks : Empirical tests," Journal of Financial Economics, Elsevier, vol. 10(1), pages 29-58, March.
    8. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    9. 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..
    10. Ramaswamy, Krishna & Sundaresan, Suresh M, 1985. " The Valuation of Options on Futures Contracts," Journal of Finance, American Finance Association, vol. 40(5), pages 1319-1340, December.
    11. 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 637-654, May-June.
    12. 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.
    13. Bhattacharya, Mihir, 1983. "Transactions data tests of efficiency of the Chicago board options exchange," Journal of Financial Economics, Elsevier, vol. 12(2), pages 161-185, August.
    14. Shastri, Kuldeep & Tandon, Kishore, 1986. "An Empirical Test of a Valuation Model for American Options on Futures Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 377-392, December.
    15. Amin, Kaushik I & Ng, Victor K, 1993. " Option Valuation with Systematic Stochastic Volatility," Journal of Finance, American Finance Association, vol. 48(3), pages 881-910, July.
    16. Kaushik I. Amin & Robert A. Jarrow, 2008. "Pricing foreign currency options under stochastic interest rates," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 14, pages 307-326 World Scientific Publishing Co. Pte. Ltd..
    17. Rabinovitch, Ramon, 1989. "Pricing Stock and Bond Options when the Default-Free Rate is Stochastic," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(04), pages 447-457, December.
    18. Whaley, Robert E, 1986. " Valuation of American Futures Options: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 41(1), pages 127-150, March.
    19. Grinblatt, Mark & Johnson, Herb, 1988. "A Put Option Paradox," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 23-26, March.
    20. Hammer, Jerry A., 1989. "On biases reported in studies of the black-scholes option pricing model," Journal of Economics and Business, Elsevier, vol. 41(2), pages 153-169, May.
    21. Bailey, Warren & Stulz, René M., 1989. "The Pricing of Stock Index Options in a General Equilibrium Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(01), pages 1-12, March.
    22. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    23. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    24. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    25. Chesney, Marc & Scott, Louis, 1989. "Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 267-284, September.
    26. Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
    27. Ball, Clifford A & Torous, Walter N, 1986. " Futures Options and the Volatility of Futures Prices," Journal of Finance, American Finance Association, vol. 41(4), pages 857-870, September.
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