EFFICIENCY TESTS OF THE FOREIGN-CURRENCY OPTIONS MARKET

被引：34

作者：

BODURTHA, JN ^{[1
]}

COURTADON, GR ^{[1
]}

机构：

[1] NYU,NEW YORK,NY 10003

来源：

JOURNAL OF FINANCE | 1986年 / 41卷 / 01期

关键词：

D O I：

10.2307/2328349

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：151 / 162

页数：12

共 50 条

[1] ARBITRAGE TESTS OF THE EFFICIENCY OF THE FOREIGN-CURRENCY OPTIONS MARKET
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TANDON, K
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1985, 4 (04) : 455 - 468
[2] TESTS OF AN AMERICAN OPTION PRICING MODEL ON THE FOREIGN-CURRENCY OPTIONS MARKET
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[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1987, 22 (02) : 153 - 167
[3] VALUATION OF FOREIGN-CURRENCY OPTIONS - SOME EMPIRICAL TESTS
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TANDON, K
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1986, 21 (02) : 145 - 160
[4] THE PRICING OF FOREIGN-CURRENCY OPTIONS
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TURNBULL, SM
[J]. CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 1991, 24 (02): : 251 - 281
[5] Efficiency of the foreign currency options market
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[J]. GLOBAL FINANCE JOURNAL, 2008, 19 (02) : 157 - 170
[6] VALUATION OF AMERICAN OPTIONS ON FOREIGN-CURRENCY
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TANDON, K
[J]. JOURNAL OF BANKING & FINANCE, 1987, 11 (02) : 245 - 269
[7] VOLATILITY IN THE FOREIGN-CURRENCY FUTURES MARKET
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HUANG, RD
[J]. REVIEW OF FINANCIAL STUDIES, 1991, 4 (03): : 543 - 569
[8] PRICING FOREIGN-CURRENCY OPTIONS WITH STOCHASTIC VOLATILITY
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[J]. JOURNAL OF ECONOMETRICS, 1990, 45 (1-2) : 239 - 265
[9] AN ALTERNATIVE FORMULATION ON THE PRICING OF FOREIGN-CURRENCY OPTIONS
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OKUNEV, J
[J]. JOURNAL OF FUTURES MARKETS, 1993, 13 (08) : 903 - 907
[10] CREATING AND PRICING HYBRID FOREIGN-CURRENCY OPTIONS
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CROUHY, M
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