International currency relationship information revealed by cross-option prices

Journal of Futures Markets

Volumn 17, Issue 4, 1997, Pages 369-384

  Siegel, Andrew F ^a  

^a UNIVERSITY OF WASHINGTON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031520522     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199706)17:4<369::AID-FUT1>3.0.CO;2-F     Document Type: Article

References (7)

1. Black, F., and M. Scholes, (1973): "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81:637-659.
2. Garman, M. B., and Kohlhagen, S. W. (1983): "Foreign Currency Option Values," Journal of International Money and Finance, 2:231-237.
3. Kamara, A., and Siegel, A. F. (1987): "Optimal Hedging in Futures Markets with Multiple Delivery Specifications," Journal of Finance, 42:1007-1021.
4. Latané, H. A., and Rendleman, R. J. (1976): "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, 31:369-381.
5. Merton, R. (1973): "Theory of Rational Option Pricing," Bell Journal of Economics, 4:141-183.
6. Morgan, W. A. (1939): "A Test for the Significance of the Difference between the Two Variances in a Sample from a Normal Bivariate Population," Biometrika, 31:13-19.
7. Siegel, A. F. (1995): "Measuring Systematic Risk Using Implicit Beta," Management Science, 41:124-128.