AN EMPIRICAL-INVESTIGATION OF THE EARLY EXERCISE PREMIUM OF FOREIGN-CURRENCY OPTIONS

被引：3

作者：

JORION, P

STOUGHTON, NM

机构：

[1] UNIV CALIF IRVINE, IRVINE, CA 92717 USA

[2] UNIV CALIF LOS ANGELES, LOS ANGELES, CA 90024 USA

[3] COLUMBIA UNIV BARNARD COLL, NEW YORK, NY 10027 USA

来源：

JOURNAL OF FUTURES MARKETS | 1989年 / 9卷 / 05期

关键词：

D O I：

10.1002/fut.3990090502

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：365 / 375

页数：11

共 42 条

[1] VALUATION OF FOREIGN-CURRENCY OPTIONS - SOME EMPIRICAL TESTS
SHASTRI, K
TANDON, K
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1986, 21 (02) : 145 - 160
[2] THE PRICING OF FOREIGN-CURRENCY OPTIONS
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[J]. CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 1991, 24 (02): : 251 - 281
[3] VALUATION OF AMERICAN OPTIONS ON FOREIGN-CURRENCY
SHASTRI, K
TANDON, K
[J]. JOURNAL OF BANKING & FINANCE, 1987, 11 (02) : 245 - 269
[4] PRICING FOREIGN-CURRENCY OPTIONS WITH STOCHASTIC VOLATILITY
MELINO, A
TURNBULL, SM
[J]. JOURNAL OF ECONOMETRICS, 1990, 45 (1-2) : 239 - 265
[5] AN ALTERNATIVE FORMULATION ON THE PRICING OF FOREIGN-CURRENCY OPTIONS
CHIANG, R
OKUNEV, J
[J]. JOURNAL OF FUTURES MARKETS, 1993, 13 (08) : 903 - 907
[6] CREATING AND PRICING HYBRID FOREIGN-CURRENCY OPTIONS
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CROUHY, M
[J]. FINANCIAL MANAGEMENT, 1988, 17 (04) : 59 - 65
[7] EFFICIENCY TESTS OF THE FOREIGN-CURRENCY OPTIONS MARKET
BODURTHA, JN
COURTADON, GR
[J]. JOURNAL OF FINANCE, 1986, 41 (01): : 151 - 162
[8] ARE FOREIGN-CURRENCY OPTIONS OVERVALUED - THE EARLY EXPERIENCE OF THE PHILADELPHIA-STOCK-EXCHANGE
GOODMAN, LS
ROSS, S
SCHMIDT, F
[J]. JOURNAL OF FUTURES MARKETS, 1985, 5 (03) : 349 - 359
[9] ON THE PRICING OF EUROPEAN AND AMERICAN FOREIGN-CURRENCY OPTIONS - A CLARIFICATION
ADAMS, PD
WYATT, SB
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1989, 8 (02) : 305 - 311
[10] ON THE PRICING OF EUROPEAN AND AMERICAN FOREIGN-CURRENCY CALL OPTIONS
ADAMS, PD
WYATT, SB
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1987, 6 (03) : 315 - 338

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