Article1983

The Valuation of Currency Options

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

Abstract

Since Black and Scholes [1] published their path-breaking paper, option pricing theory has received considerable attention in the literature. Many authors have shown how the basic Black-Scholes model can be

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References

1973The Pricing of Options and Corporate Liabilities 2005Theory of rational option pricing 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis 1981A model of international asset pricing 1982Options on the minimum or the maximum of two risky assets 1976Option pricing 1976Sharing rules and equilibrium in an international capital market under uncertainty

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1997Equilibrium Valuation of Foreign Exchange Claims 1986Valuation of Foreign Currency Options: Some Empirical Tests 1994A new measure to compare the hedging effectiveness of foreign currency futures versus options 1987Hedging the risks from writing foreign currency options 2015Skewed Generalized Error Distribution of Financial Assets and Option Pricing 2008Pricing currency options under two-factor Markov-modulated stochastic volatility models 2010Markov-modulated jump–diffusions for currency option pricing

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