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Misspecification and the pricing and hedging of long-term foreign currency options

  • Melino, Angelo
  • Turnbull, Stuart M.

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3Y45TKR-V/2/3769b894df9dd1822ed02505191f1b0a
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 14 (1995)
Issue (Month): 3 (June)
Pages: 373-393

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Handle: RePEc:eee:jimfin:v:14:y:1995:i:3:p:373-393
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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  1. Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-93, March.
  2. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265.
  3. Shastri, Kuldeep & Tandon, Kishore, 1986. "Valuation of Foreign Currency Options: Some Empirical Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 145-160, June.
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