TESTS OF AN AMERICAN OPTION PRICING MODEL ON THE FOREIGN-CURRENCY OPTIONS MARKET

被引:54
作者
BODURTHA, JN [1 ]
COURTADON, GR [1 ]
机构
[1] SHEARSON LEHMAN BROS,NEW YORK,NY 10285
关键词
D O I
10.2307/2330710
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:153 / 167
页数:15
相关论文
共 27 条
[11]  
GRABBE JO, 1983, J INT MONEY FINANC, V2, P239
[12]  
KENDALL MG, 1979, ADV THEORY STATISTIC
[13]   EMPIRICAL-EXAMINATION OF THE BLACK-SCHOLES CALL OPTION PRICING MODEL [J].
MACBETH, JD ;
MERVILLE, LJ .
JOURNAL OF FINANCE, 1979, 34 (05) :1173-1186
[14]  
MASON SP, 1979, THESIS MIT
[15]  
MCCULLOCH JH, 1985, UNPUB VALUE EUROPEAN
[16]   THEORY OF RATIONAL OPTION PRICING [J].
MERTON, RC .
BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183
[17]   IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN UNDERLYING STOCK-PRICE RETURNS [J].
MERTON, RC .
JOURNAL OF FINANCE, 1976, 31 (02) :333-350
[18]   OPTION PRICING - AMERICAN PUT [J].
PARKINSON, M .
JOURNAL OF BUSINESS, 1977, 50 (01) :21-36
[19]  
PHILLIPS SM, 1980, J FINANC ECON, V8, P179, DOI 10.1016/0304-405X(80)90016-1