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subject:"Yen"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Foreign exchange option"
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Currency option
189
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189
Option pricing theory
101
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101
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69
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69
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67
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Bali, Turan G.
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The journal of derivatives : the official publication of the International Association of Financial Engineers
4
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4
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2
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2
Journal of international money and finance
2
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ECONIS (ZBW)
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1
Pricing currency call options
Abraham, Rebecca
- In:
Theoretical economics letters
8
(
2018
)
11
,
pp. 2271-2289
Persistent link: https://www.econbiz.de/10011911640
Saved in:
2
The Black-Scholes currency option pricing model : evidence for unbiasedness from three currencies against the US dollar
Azar, Samih Antoine
;
Tortian, Annie
- In:
International journal of economics and finance
5
(
2013
)
8
,
pp. 54-64
Persistent link: https://www.econbiz.de/10009787194
Saved in:
3
Foreign exchange, fractional cointegration and the implied–realized volatility relation
Kellard, Neil
;
Dunis, Christian
;
Sarantis, Nicholas
- In:
Journal of banking & finance
34
(
2010
)
4
,
pp. 882-891
Persistent link: https://www.econbiz.de/10003966120
Saved in:
4
Cross-dynamics of volatility term structures implied by foreign exchange options
Krylova, Elizaveta
;
Nikkinen, Jussi
;
Vähämaa, Sami
- In:
Journal of economics & business
61
(
2009
)
5
,
pp. 355-375
Persistent link: https://www.econbiz.de/10003882032
Saved in:
5
European put-call parity and the early exercise premium for American currency options
Poitras, Geoffrey
;
Veld, Chris H.
;
Zabolotnyuk, Yuriy
- In:
Multinational finance journal : MF ; quarterly …
13
(
2009
)
1/2
,
pp. 39-54
Persistent link: https://www.econbiz.de/10008654489
Saved in:
6
Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options
Kuo, I.-doun
;
Lin, Yueh-neng
- In:
Review of financial economics : RFE
18
(
2009
)
1
,
pp. 23-32
Persistent link: https://www.econbiz.de/10003832528
Saved in:
7
Currency options trading practices and the construction and governance of operational risk
Mahama, Habib
;
Ming, Chen Yu
- In:
Accounting, auditing & accountability journal
22
(
2009
)
4
,
pp. 625-660
Persistent link: https://www.econbiz.de/10009520842
Saved in:
8
Efficiency of the foreign currency options market
Hoque, Ariful
;
Chan, Felix
;
Manzur, Meher
- In:
Global finance journal
19
(
2008
)
2
,
pp. 157-170
Persistent link: https://www.econbiz.de/10003756935
Saved in:
9
Volatility and the carry trade
Bhansali, Vineer
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 72-84
Persistent link: https://www.econbiz.de/10003687359
Saved in:
10
The volatility risk premium embedded in currency options
Sin, Low B.
;
Zhang, Shaojun
- In:
Journal of financial and quantitative analysis : JFQA
40
(
2005
)
4
,
pp. 803-832
Persistent link: https://www.econbiz.de/10003242811
Saved in:
11
The forecasting abilities of implied and econometric variance-covariance models across financial measures
Chong, James
- In:
Journal of economics & business
57
(
2005
)
5
,
pp. 463-490
Persistent link: https://www.econbiz.de/10003138795
Saved in:
12
Distributions inplied by American currency futures options : A ghost's smile?
Cincibuch, Martin
- In:
The journal of futures markets
24
(
2004
)
2
,
pp. 147-178
Persistent link: https://www.econbiz.de/10001905030
Saved in:
13
The interrelation of price volatility and trading volume of currency options
Sarwar, Ghulam
- In:
The journal of futures markets
23
(
2002
)
7
,
pp. 681-700
Persistent link: https://www.econbiz.de/10001769722
Saved in:
14
Risk-neutralized at-the-money consistent historical distributions in currency options pricing
Cakici, Nusret
;
Foster, Kevin R.
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 25-47
Persistent link: https://www.econbiz.de/10001704738
Saved in:
15
Modelling the interaction of fundamental and portfolio exchange rate behaviour : an application to Australia and the ASEAN3
Lim, Guay C.
- In:
Australian economic papers
41
(
2002
)
4
,
pp. 557-576
Persistent link: https://www.econbiz.de/10001997749
Saved in:
16
Hedging downside risk : futures vs. options
Lien, Da-hsiang Donald
;
Tse, Yiu Kuen
- In:
International review of economics & finance : IREF
10
(
2001
)
2
,
pp. 159-169
Persistent link: https://www.econbiz.de/10001583340
Saved in:
17
Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates
Chang, Chuang-chang
- In:
Journal of multinational financial management
11
(
2001
)
3
,
pp. 241-268
Persistent link: https://www.econbiz.de/10001592716
Saved in:
18
Dynamic volatility trading strategies in the currency option market
Guo, Dajiang
- In:
Review of derivatives research
4
(
2000
)
2
,
pp. 133-154
Persistent link: https://www.econbiz.de/10001566795
Saved in:
19
Pricing eurodollar futures options using the BDT term structure model : the effect of yield curve smoothing
Bali, Turan G.
;
Karagozoglu, Ahmet K.
- In:
The journal of futures markets
20
(
2000
)
3
,
pp. 293-306
Persistent link: https://www.econbiz.de/10001485244
Saved in:
20
Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.
;
López, José A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
Saved in:
21
Exchange rate economic exposure under collusive pricing and hedging using Asian currency options
Kanas, Angelos
- In:
Economia internazionale
53
(
2000
)
1
,
pp. 53-67
Persistent link: https://www.econbiz.de/10001491674
Saved in:
22
Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models : an empirical comparison
Mathis, Roswell E.
;
Bierwag, Gerald O.
- In:
The journal of futures markets
19
(
1999
)
3
,
pp. 291-306
Persistent link: https://www.econbiz.de/10001377950
Saved in:
23
The yen - dollar exchange rate in 1998 : views from options markets
Cooper, Neil
;
Talbot, James
- In:
Quarterly bulletin / Bank of England
39
(
1999
)
1
,
pp. 68-77
Persistent link: https://www.econbiz.de/10001380946
Saved in:
24
Implementation of the BDT model with different volatility estimators : applications to Eurodollar futures options
Bali, Turan G.
;
Karagozoglu, Ahmet K.
- In:
The journal of fixed income
8
(
1999
)
4
,
pp. 24-34
Persistent link: https://www.econbiz.de/10001432399
Saved in:
25
Pricing foreign currency and cross-currency options under GARCH
Duan, Jin-Chuan
;
Wei, Jason
- In:
The journal of derivatives : the official publication …
7
(
1999
)
1
,
pp. 51-68
Persistent link: https://www.econbiz.de/10001432469
Saved in:
26
Implied exchange rate distributions : evidence from OTC option markets
Campa, José Manuel
- In:
Journal of international money and finance
17
(
1998
)
1
,
pp. 117-160
Persistent link: https://www.econbiz.de/10001338367
Saved in:
27
A note on the term structure of implied volatilities for the yen-US dollar currency option
Takezawa, Nobuya
;
Shiraishi, Noriyoshi
- In:
Asia-Pacific financial markets
5
(
1998
)
3
,
pp. 227-236
Persistent link: https://www.econbiz.de/10001372068
Saved in:
28
Pricing multivariate contingent claims using estimated risk-neutral density functions
Rosenberg, Joshua V.
- In:
Journal of international money and finance
17
(
1998
)
2
,
pp. 229-247
Persistent link: https://www.econbiz.de/10001246609
Saved in:
29
The risk premium of volatility implicit in currency options
Guo, Dajiang
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
4
,
pp. 498-507
Persistent link: https://www.econbiz.de/10001251794
Saved in:
30
Put-call parity revisited : intradaily tests in the foreign currency options market
El-Mekkaoui, Mazen
;
Flood, Mark D.
- In:
Journal of international financial markets, …
8
(
1998
)
3/4
,
pp. 357-376
Persistent link: https://www.econbiz.de/10001445760
Saved in:
31
Why firms use currency derivatives
Géczy, Christopher
- In:
The journal of finance : the journal of the American …
52
(
1997
)
4
,
pp. 1323-1354
Persistent link: https://www.econbiz.de/10001227651
Saved in:
32
Is economic exposure asymmetric between long-run depreciations and appreciations? : Testing using cointegration analysis
Kanas, Angelos
- In:
Journal of multinational financial management
7
(
1997
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10001230351
Saved in:
33
Volatility patterns : theory and some evidence from the dollar-mark option market
Gesser, Vincent
- In:
The journal of derivatives : the official publication …
5
(
1997
)
2
,
pp. 46-61
Persistent link: https://www.econbiz.de/10001232635
Saved in:
34
Estimating the probability distribution of the future exchange rate from option prices
Malz, Allan Martin
- In:
The journal of derivatives : the official publication …
5
(
1997
)
2
,
pp. 18-36
Persistent link: https://www.econbiz.de/10001232636
Saved in:
35
Currency option markets and exchange rates : a case study of the US dollar in March 1995
Malz, Allan Martin
- In:
Current issues in economics and finance
1
(
1995
)
4
Persistent link: https://www.econbiz.de/10001222907
Saved in:
36
Valuation of American options on foreign currency
Shastri, Kuldeep
- In:
Journal of banking & finance
11
(
1987
)
2
,
pp. 245-269
Persistent link: https://www.econbiz.de/10001033908
Saved in:
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