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Valuing foreign exchange rate derivatives with a bounded exchange process
13 references·8 citing·29 second hop
Valuing foreign exchange rate derivatives with a bounded exchange process (1996)Valuing foreign exchange rate derivatives…On the Pricing of Contingent Claims and the Modigliani–Miller Theorem (2019)On the Pricing of Contingent …Theory of rational option pricing (2005)Theory of rational option pri…Option pricing with futures‐style margining (1990)Option pricing with futures‐s…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…On the use of European models to price American options on foreign currency (1986)On the use of European models…The pricing of call and put options on foreign exchange (1983)The pricing of call and put o…Foreign currency option values (1983)Foreign currency option valuesThe relation between forward prices and futures prices (1981)The relation between forward …On the pricing of contingent claims and the Modigliani-Miller theorem (1977)On the pricing of contingent …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Does Bitcoin behave as a currency?: A standard monetary model approach (2020)Does Bitcoin behave as a curr…Swiss franc's one-sided target zone during 2011–2015 (2016)Swiss franc's one-sided targe…Why Are Quadratic Normal Volatility Models Analytically Tractable? (2013)Why Are Quadratic Normal Vola…A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar (2012)A Quasi-Bounded Target Zone M…Option pricing with quadratic volatility: a revisit (2010)Option pricing with quadratic…Fourier Space Time-Stepping for Option Pricing With Levy Models (2007)Fourier Space Time-Stepping f…Chapter 6 Spectral Methods in Derivatives Pricing (2007)Chapter 6 Spectral Methods in…Option pricing in the presence of natural boundaries and a quadratic diffusion term (1997)Option pricing in the presenc…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Arbitrage Theory in Continuous Time (2004)Carry Trades and Global Foreign Exchange Volatility (2012)20 Testing option pricing models (1995)Brownian Excursions and Parisian Barrier Options (1997)Regime switching in foreign exchange rates: (2000)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance (1989)A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities (1997)Application of option-pricing theory: twenty five years later (1998)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1983Foreign currency option values1,078 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1983The pricing of call and put options on foreign exchange276 cited
  • 1977On the pricing of contingent claims and the Modigliani-Miller theorem266 cited
  • 2019On the Pricing of Contingent Claims and the Modigliani–Miller Theorem177 cited
  • 1986On the use of European models to price American options on foreign currency63 cited
  • 1990Option pricing with futures‐style margining56 cited

Cited by

  • 1997Option pricing in the presence of natural boundaries and a quadratic diffusion term47 cited
  • 2007Chapter 6 Spectral Methods in Derivatives Pricing46 cited

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2010
Option pricing with quadratic volatility: a revisit
40 cited
  • 2007Fourier Space Time-Stepping for Option Pricing With Levy Models38 cited
  • 2016Swiss franc's one-sided target zone during 2011–201529 cited
  • 2013Why Are Quadratic Normal Volatility Models Analytically Tractable?27 cited
  • 2020Does Bitcoin behave as a currency?: A standard monetary model approach26 cited
  • 2012A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar25 cited