Article1991

Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates

Jimmy E. Hilliard · Jeff Madura · Alan L. Tucker

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

Abstract

Jimmy E. Hilliard, Jeff Madura, Alan L. Tucker, Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates, The Journal of Financial and Quantitative Analysis, Vol. 26, No. 2 (Jun., 1991), pp. 139-151

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2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 1976The valuation of options for alternative stochastic processes 1976The pricing of commodity contracts 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1987Efficient Analytic Approximation of American Option Values 1983Foreign currency option values 1982Valuation of American call options on dividend-paying stocks

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1998The Risk Premium of Volatility Implicit in Currency Options 1996The predictive power of implied stochastic variance from currency options 1997Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model 2014The Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk 1996BIVARIATE BINOMIAL OPTIONS PRICING WITH GENERALIZED INTEREST RATE PROCESSES

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