Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models
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- Parkinson, Michael, 1972. "Empirical Warrant-Stock Relationships," The Journal of Business, University of Chicago Press, vol. 45(4), pages 563-569, October.
- Rush, David F & Melicher, Ronald W, 1974. "An Empirical Examination of Factors which Influence Warrant Prices," Journal of Finance, American Finance Association, vol. 29(5), pages 1449-1466, December.
- Galai, Dan, 1977. "Tests of Market Efficiency of the Chicago Board Options Exchange," The Journal of Business, University of Chicago Press, vol. 50(2), pages 167-197, April.
- Geske, Robert & Shastri, Kuldeep, 1985. "Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 45-71, March.
- 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.
- 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.
- Orlin J. Grabbe, "undated". "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 06-83, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Shastri, Kuldeep & Tandon, Kishore, 1985. "Arbitrage tests of the efficiency of the foreign currency options market," Journal of International Money and Finance, Elsevier, vol. 4(4), pages 455-468, December.
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- Kassouf, Sheen T, 1969. "An Econometric Model for Option Price with Implications for Investors' Expectations and Audacity," Econometrica, Econometric Society, vol. 37(4), pages 685-694, October.
- Orlin J. Grabbe, "undated". "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 6-83, Wharton School Rodney L. White Center for Financial Research.
- Bodurtha, James N, Jr & Courtadon, Georges R, 1986. " Efficiency Tests of the Foreign Currency Options Market," Journal of Finance, American Finance Association, vol. 41(1), pages 151-162, March.
- Angelo Melino & Stuart M. Turnbull, 1991. "The Pricing of Foreign Currency Options," Canadian Journal of Economics, Canadian Economics Association, vol. 24(2), pages 251-281, May.
- Richard J Rogalski & Joseph D Vinso, 1978. "Empirical Properties of Foreign Exchange Rates," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 9(2), pages 69-79, June.
- Kassouf, S. T., 1976. "The lag structure of option price," Journal of Econometrics, Elsevier, vol. 4(4), pages 303-310, November.
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- Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Bodurtha, James N. & Courtadon, Georges R., 1987. "Tests of an American Option Pricing Model on the Foreign Currency Options Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 153-167, June.
- Orlin Grabbe, J., 1983. "The pricing of call and put options on foreign exchange," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 239-253, December.
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