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Comment on 'Exchange rate shocks, currency options and the Siegel paradox' by Indrajit Bardhan

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  • Dumas, Bernard
  • Jennergren, L. Peter
  • Naslund, Bertil

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  • Dumas, Bernard & Jennergren, L. Peter & Naslund, Bertil, 1995. "Comment on 'Exchange rate shocks, currency options and the Siegel paradox' by Indrajit Bardhan," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 459-460, June.
    • Handle: RePEc:eee:jimfin:v:14:y:1995:i:3:p:459-460
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    References listed on IDEAS

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    1. Jeremy J. Siegel, 1972. "Risk, Interest Rates and the Forward Exchange," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 86(2), pages 303-309.
    2. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
    3. Dumas, Bernard & Jennergren, L. Peter & Naslund, Bertil, 1995. "Siegel's paradox and the pricing of currency options," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 213-223, April.
    4. Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995. "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, vol. 39(8), pages 1523-1544, October.
    5. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    6. 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.
    7. Adler, Michael & Dumas, Bernard, 1983. "International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-984, June.
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    Cited by:

    1. Kam Chu, 2005. "Solution to the Siegel Paradox," Open Economies Review, Springer, vol. 16(4), pages 399-405, October.
    2. 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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