ON THE USE OF EUROPEAN MODELS TO PRICE AMERICAN OPTIONS ON FOREIGN-CURRENCY

被引：26

作者：

SHASTRI, K ^{[1
]}

TANDON, K ^{[1
]}

机构：

[1] CUNY BERNARD M BARUCH COLL,NEW YORK,NY 10010

来源：

关键词：

D O I：

10.1002/fut.3990060109

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：93 / 108

页数：16

共 12 条

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[2]

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BLACK, F ;

SCHOLES, M .

[4]

BODURTHA J, 1985, EMPIRICAL TESTS PHIL

[5]

GARMAN M, 1983, J INT MONEY FINA DEC, P231

[6] THE AMERICAN PUT OPTION VALUED ANALYTICALLY [J].

GESKE, R ;

JOHNSON, HE .

[7]

GESKE R, 1985, J BANK FINANC, P207

[8]

GIDDY I, 1983, J FUTURES MARKET SUM, P143

[9]

GRABBE JO, 1983, J INT MONEY FINANC, V2, P239

[10] THEORY OF RATIONAL OPTION PRICING [J].

MERTON, RC .

BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183