메뉴 건너뛰기




Volumn 15, Issue 1, 1996, Pages 65-93

Dollar jump fears, 1984-1992: Distributional abnormalities implicit in currency futures options

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0030078492     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/0261-5606(95)00039-9     Document Type: Article
Times cited : (74)

References (40)
  • 1
    • 84944838161 scopus 로고
    • International portfolio choice and corporation finance: A synthesis
    • June
    • ADLER, MICHAEL AND BERNARD DUMAS, 'International portfolio choice and corporation finance: A synthesis,' Journal of Finance, June 1983, 38: 925-984.
    • (1983) Journal of Finance , vol.38 , pp. 925-984
    • Adler, M.1    Dumas, B.2
  • 2
    • 84977725190 scopus 로고
    • Jump-diffusion processes and the term structure of interest rates
    • March
    • AHN, CHANG Mo AND HOWARD E. THOMPSON, 'Jump-diffusion processes and the term structure of interest rates,' Journal of Finance, March 1988, 43: 155-174.
    • (1988) Journal of Finance , vol.43 , pp. 155-174
    • Ahn, C.M.1    Thompson, H.E.2
  • 3
    • 0001084106 scopus 로고
    • Mixed diffusion-jump process modeling of exchange rate movements
    • November
    • AKGIRAY, VEDAT AND G. GEOFFREY BOOTH, 'Mixed diffusion-jump process modeling of exchange rate movements,' Review of Economics and Statistics, November 1988, 70: 631-637.
    • (1988) Review of Economics and Statistics , vol.70 , pp. 631-637
    • Akgiray, V.1    Booth, G.G.2
  • 4
    • 0001815473 scopus 로고
    • Pricing foreign currency options under stochastic interest rates
    • September
    • AMIN, KAUSHIK I. AND ROBERT A. JARROW, 'Pricing foreign currency options under stochastic interest rates,' Journal of International Money and Finance, September 1991, 10: 310-329.
    • (1991) Journal of International Money and Finance , vol.10 , pp. 310-329
    • Amin, K.I.1    Jarrow, R.A.2
  • 6
    • 84977707224 scopus 로고
    • The crash of '87; Was it expected? The evidence from options markets
    • July
    • BATES, DAVID S., 'The crash of '87; Was it expected? The evidence from options markets,' Journal of Finance, July 1991, 46; 1009-1044.
    • (1991) Journal of Finance , vol.46 , pp. 1009-1044
    • Bates, D.S.1
  • 9
    • 0001625619 scopus 로고
    • Tests of an American option pricing model on the foreign currency options market
    • June
    • BODURTHA, JAMES N., JR. AND GEORGES R. COURTADON, 'Tests of an American option pricing model on the foreign currency options market,' Journal of Financial and Quantitative Analysis, June 1987, 22: 153-167.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 153-167
    • Bodurtha J.N., Jr.1    Courtadon, G.R.2
  • 10
    • 0001044779 scopus 로고
    • Options on foreign exchange and exchange rate expectations
    • December
    • BORENSZTEIN, EDUARDO R. AND MICHAEL P. DOOLEY, 'Options on foreign exchange and exchange rate expectations,' IMF Staff Papers, December 1987, 34: 642-680.
    • (1987) IMF Staff Papers , vol.34 , pp. 642-680
    • Borensztein, E.R.1    Dooley, M.P.2
  • 12
    • 84974296074 scopus 로고
    • Pricing European currency options: A comparison of the modified Black - Scholes model and a random variance model
    • Sept.
    • CHESNEY, MARC AND LOUIS O. SCOTT, 'Pricing European currency options: A comparison of the modified Black - Scholes model and a random variance model.' Journal of Financial and Quantitative Analysis, Sept. 1989, 24: 267-284.
    • (1989) Journal of Financial and Quantitative Analysis , vol.24 , pp. 267-284
    • Chesney, M.1    Scott, L.O.2
  • 13
    • 0000334217 scopus 로고
    • An intertemporal general equilibrium model of asset prices
    • March
    • Cox, JOHN C., JONATHAN E. INGERSOLL, JR., AND STEPHEN A. Ross, 'An intertemporal general equilibrium model of asset prices,' Econometrica, March 1985, 53: 363-384.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.C.1    Ingersoll J.E., Jr.2    Ross, S.A.3
  • 14
    • 0000424730 scopus 로고
    • Are foreign exchange forecasts rational? New evidence from survey data
    • DOMINGUEZ, KATHRYN M., 'Are foreign exchange forecasts rational? New evidence from survey data,' Economics Letters, 1986, 21: 227-281.
    • (1986) Economics Letters , vol.21 , pp. 227-281
    • Dominguez, K.M.1
  • 15
    • 0000205143 scopus 로고
    • Two-person dynamic equilibrium in the capital market
    • DUMAS, BERNARD, 'Two-person dynamic equilibrium in the capital market,' Review of Financial Studies, 1989, 2: 157-188.
    • (1989) Review of Financial Studies , vol.2 , pp. 157-188
    • Dumas, B.1
  • 16
    • 0000230606 scopus 로고
    • Long swings in the dollar: Are they in the data and do markets know it?
    • September
    • ENGEL, CHARLES M. AND JAMES D. HAMILTON, 'Long swings in the dollar: Are they in the data and do markets know it? American Economic Review, September 1990, 80: 689-713.
    • (1990) American Economic Review , vol.80 , pp. 689-713
    • Engel, C.M.1    Hamilton, J.D.2
  • 17
    • 0000027575 scopus 로고
    • A test for speculative bubbles in the sterling - Dollar exchange rate: 1981-84
    • September
    • EVANS, GEORGE W., 'A test for speculative bubbles in the sterling - dollar exchange rate: 1981-84,' American Economic Review, September 1986, 76: 621-636.
    • (1986) American Economic Review , vol.76 , pp. 621-636
    • Evans, G.W.1
  • 19
    • 48549113655 scopus 로고
    • Forward and spot exchange rates
    • November
    • FAMA EUGENE F., 'Forward and spot exchange rates,' Journal of Monetary Economics, November 1984, 14: 319-338.
    • (1984) Journal of Monetary Economics , vol.14 , pp. 319-338
    • Fama, E.F.1
  • 20
    • 84959841139 scopus 로고
    • Forward discount bias: Is it an exchange risk premium?
    • February
    • FRANKEL, JEFFREY A. AND KENNETH A. FROOT, 'Forward discount bias: Is it an exchange risk premium?' Quarterly Journal of Economics, February 1989, 104: 139-161.
    • (1989) Quarterly Journal of Economics , vol.104 , pp. 139-161
    • Frankel, J.A.1    Froot, K.A.2
  • 22
    • 48749142675 scopus 로고
    • The pricing of call and put options on foreign exchange
    • December
    • GRABBE, J. ORLIN, 'The pricing of call and put options on foreign exchange,' Journal of International Money and Finance, December 1983, 2: 239-253.
    • (1983) Journal of International Money and Finance , vol.2 , pp. 239-253
    • Grabbe, J.O.1
  • 27
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatility
    • June
    • HULL, JOHN AND ALAN WHITE, 'The pricing of options on assets with stochastic volatility,' Journal of Finance, June 1987, 42: 281-300.
    • (1987) Journal of Finance , vol.42 , pp. 281-300
    • Hull, J.1    White, A.2
  • 28
    • 0000137326 scopus 로고
    • On jump processes in the foreign exchange and stock markets
    • JORION, PHILIPPE, 'On jump processes in the foreign exchange and stock markets,' Review of Financial Studies 1989, 1: 427-445.
    • (1989) Review of Financial Studies , vol.1 , pp. 427-445
    • Jorion, P.1
  • 29
    • 0001054949 scopus 로고
    • The peso problem in testing for efficiency of forward exchange markets
    • April
    • KRASKER, WILLIAMS S., 'The peso problem in testing for efficiency of forward exchange markets,' Journal of Monetary Economics, April 1980, 6: 269-276.
    • (1980) Journal of Monetary Economics , vol.6 , pp. 269-276
    • Krasker, W.S.1
  • 30
    • 84944830176 scopus 로고
    • Option pricing and replication with transactions costs
    • December
    • LELAND, HAYNE E., 'Option pricing and replication with transactions costs,' Journal of Finance, December 1985, 40: 1283-1301.
    • (1985) Journal of Finance , vol.40 , pp. 1283-1301
    • Leland, H.E.1
  • 31
    • 0000639652 scopus 로고
    • Changing beliefs and systematic rational forecast errors with evidence from foreign exchange
    • September
    • LEWIS, KAREN K., 'Changing beliefs and systematic rational forecast errors with evidence from foreign exchange,' American Economic Review, September 1989, 79: 621-636.
    • (1989) American Economic Review , vol.79 , pp. 621-636
    • Lewis, K.K.1
  • 32
    • 0001077376 scopus 로고
    • International financial markets
    • Gene Grossman and Kenneth Rogoff, eds., Amsterdam: North Holland
    • LEWIS, KAREN K., 'International financial markets,' in Gene Grossman and Kenneth Rogoff, eds., Handbook of International Economics, Amsterdam: North Holland, 1995.
    • (1995) Handbook of International Economics
    • Lewis, K.K.1
  • 35
    • 0003273508 scopus 로고
    • Foreign exchange option pricing with log-stable uncertainty
    • Sarkis J. Khoury and Gosh Alo, eds., Lexington, MA: Lexington Books
    • MCCULLOCH, J. HUSTON, 'Foreign exchange option pricing with log-stable uncertainty,' in Sarkis J. Khoury and Gosh Alo, eds., Recent Developments in International Banking and Finance, Lexington, MA: Lexington Books, 1987.
    • (1987) Recent Developments in International Banking and Finance
    • McCulloch, J.H.1
  • 36
    • 34248474317 scopus 로고
    • Option pricing when underlying stock returns are discontinuous
    • January/March
    • MERTON, ROBERT C., 'Option pricing when underlying stock returns are discontinuous,' Journal of Financial Economics, January/March 1976, 3: 125-144.
    • (1976) Journal of Financial Economics , vol.3 , pp. 125-144
    • Merton, R.C.1
  • 37
    • 0000472402 scopus 로고
    • General equilibrium pricing of options on the market portfolio with discontinuous returns
    • NAIK, VASANTITILAK AND MOON HOE LEE, 'General equilibrium pricing of options on the market portfolio with discontinuous returns,' Review of Financial Studies, 1990, 3: 493-522.
    • (1990) Review of Financial Studies , vol.3 , pp. 493-522
    • Naik, V.1    Lee, M.H.2
  • 39
    • 79959629817 scopus 로고
    • The valuation of options on futures contracts
    • December
    • RAMASWAMY, KRISHNA AND SURESH M. SUNDARESAN, 'The valuation of options on futures contracts,' Journal of Finance, December 1985, 40: 1319-1340.
    • (1985) Journal of Finance , vol.40 , pp. 1319-1340
    • Ramaswamy, K.1    Sundaresan, S.M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.