Regime switching in foreign exchange rates: Evidence from currency option prices

Journal of Econometrics

Volumn 94, Issue 1-2, 2000, Pages 239-276

  Bollen, Nicolas P B ^a   Gray, Stephen F ^b,c   Whaley, Robert E ^c  

^a UNIVERSITY OF UTAH   (United States)

^b UNIVERSITY OF QUEENSLAND   (Australia)

^c DUKE UNIVERSITY   (United States)

Author keywords

Currency options; Option valuation; Regime switching

Indexed keywords

EID: 0000797107     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00022-6     Document Type: Article

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