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Biases in option prices : Evidence from the foreign currency option market

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  • Adams, Paul D.
  • Wyatt, Steve B.

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  • Adams, Paul D. & Wyatt, Steve B., 1987. "Biases in option prices : Evidence from the foreign currency option market," Journal of Banking & Finance, Elsevier, vol. 11(4), pages 549-562, December.
    • Handle: RePEc:eee:jbfina:v:11:y:1987:i:4:p:549-562
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    Cited by:

    1. Chambers, David, 2019. "Commodity Option Pricing Efficiency before Black Scholes Merton," CEPR Discussion Papers 13975, C.E.P.R. Discussion Papers.
    2. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953, arXiv.org.
    3. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    4. David Chambers & Rasheed Saleuddin, 2020. "Commodity option pricing efficiency before Black, Scholes, and Merton," Economic History Review, Economic History Society, vol. 73(2), pages 540-564, May.
    5. Anatoliy Swishchuk & Maksym Tertychnyi & Winsor Hoang, 2014. "Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate," Papers 1402.2273, arXiv.org.
    6. Chang, Chuang-Chang, 2001. "Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 241-268, July.
    7. 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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