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A study of diffusion processes for foreign exchange rates

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  • Tucker, Alan L.
  • Scott, Elton

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  • Tucker, Alan L. & Scott, Elton, 1987. "A study of diffusion processes for foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 6(4), pages 465-478, December.
    • Handle: RePEc:eee:jimfin:v:6:y:1987:i:4:p:465-478
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    Cited by:

    1. Melino, Angelo & Turnbull, Stuart M., 1995. "Misspecification and the pricing and hedging of long-term foreign currency options," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 373-393, June.
    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.
    3. Kuldeep Shastri & Kulpatra Wethyavivorn, 1987. "The Valuation Of Currency Options For Alternate Stochastic Processes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 283-293, December.
    4. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University.

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