Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model

European Journal of Operational Research

Volumn 100, Issue 1, 1997, Pages 41-59

  Ekvall, Niklas ^a   Jennergren, L Peter ^b   Näslund, Bertil ^b  

^a Svenska Handelsbanken   (Sweden)

^b STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

Author keywords

Currency options; Finance

Indexed keywords

DECISION THEORY; FINANCE; MARKETING; OPERATIONS RESEARCH;

CURRENCY OPTIONS; GARMAN-KOHLHAGEN MODEL; MEAN REVERSION; UNCOVERED INTEREST PARITY;

MATHEMATICAL MODELS;

EID: 0031190475     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(95)00366-5     Document Type: Article

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