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On the use of European models to price American options on foreign currency · Study

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ArticleOn the use of European models to price American options on foreign currency

Kuldeep Shastri1986

Article1986

On the use of European models to price American options on foreign currency

Kuldeep Shastri · Kishore Tandon

63 citations·0/0 files stored·Journal of Futures Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1983Foreign currency option values 1984The American Put Option Valued Analytically 1977An analytic valuation formula for unprotected American call options on stocks with known dividends 1981Standard deviations implied in option prices as predictors of future stock price variability 1983The pricing of call and put options on foreign exchange 1983The Valuation of Currency Options

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1996Valuing foreign exchange rate derivatives with a bounded exchange process 1989Predicting currency return volatility 1988Tests of the foreign exchange risk premium using the expected second moments implied by option pricing 1987THE VALUATION OF CURRENCY OPTIONS FOR ALTERNATE STOCHASTIC PROCESSES 2000Empirical performance of alternative pricing models of currency options 2017Risk Mitigation of Production Hedging

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1986Valuation of Foreign Currency Options: Some Empirical Testsarticle · 7 shared references 1987THE VALUATION OF CURRENCY OPTIONS FOR ALTERNATE STOCHASTIC PROCESSESarticle · 7 shared references 1987Hedging the risks from writing foreign currency optionsarticle · 6 shared references 1989Predicting currency return volatilityarticle · 6 shared references 1988Tests of the foreign exchange risk premium using the expected second moments implied by option pricingarticle · 6 shared references 199520 Testing option pricing modelschapter · 5 shared references

Details

Year1986

Typearticle

Published1986-03-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations63

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1002/fut.3990060109

openalex_workW1964349977

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2018The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

1987Options on Foreign Exchange and Exchange Rate Expectations