TESTS OF AN AMERICAN OPTION PRICING MODEL ON THE FOREIGN-CURRENCY OPTIONS MARKET

被引：53

作者：

BODURTHA, JN ^{[1
]}

COURTADON, GR ^{[1
]}

机构：

[1] SHEARSON LEHMAN BROS,NEW YORK,NY 10285

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1987年 / 22卷 / 02期

关键词：

D O I：

10.2307/2330710

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：153 / 167

页数：15

相关论文

共 27 条

[1] ON JUMPS IN COMMON-STOCK PRICES AND THEIR IMPACT ON CALL OPTION PRICING
BALL, CA
TOROUS, WN
[J]. JOURNAL OF FINANCE, 1985, 40 (01) : 155 - 173
[2] A NOTE ON ESTIMATING THE PARAMETERS OF THE DIFFUSION-JUMP MODEL OF STOCK RETURNS
BECKERS, S
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1981, 16 (01) : 127 - 140
[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES
BLACK, F
SCHOLES, M
[J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654
[4] BODURTHA JN, 1985, PHLX CURRENCY OPTION
[5] INFORMATION-CONTENT OF OPTION PRICES AND A TEST OF MARKET EFFICIENCY
CHIRAS, DP
MANASTER, S
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1978, 6 (2-3) : 213 - 234
[6] FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS
CORNELL, B
REINGANUM, MR
[J]. JOURNAL OF FINANCE, 1981, 36 (05) : 1035 - 1045
[7] CURRENCY OPTION BONDS, PUTS AND CALLS ON SPOT EXCHANGE AND THE HEDGING OF CONTINGENT FOREIGN EARNINGS
FEIGER, G
JACQUILLAT, B
[J]. JOURNAL OF FINANCE, 1979, 34 (05) : 1129 - 1139
[8] FOREIGN-CURRENCY OPTION VALUES
GARMAN, MB
KOHLHAGEN, SW
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1983, 2 (03) : 231 - 237
[9] ON VALUING AMERICAN CALL OPTIONS WITH THE BLACK-SCHOLES EUROPEAN FORMULA
GESKE, R
ROLL, R
[J]. JOURNAL OF FINANCE, 1984, 39 (02) : 443 - 455
[10] A NOTE ON AN ANALYTICAL VALUATION FORMULA FOR UNPROTECTED AMERICAN CALL OPTIONS ON STOCKS WITH KNOWN DIVIDENDS
GESKE, R
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (04) : 375 - 380