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Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model
Ekvall, N., (1997)
A class of options with stochastic lives and an extension of the Black-Scholes formula
Jennergren, L.P., (1996)
Siegel's Paradox and Pricing of Currency Options.
Dumas, B., (1993)