-
1
-
-
0039054772
-
Equilibrium valuation of foreign exchange claims
-
Bakshi, G., & Chen, Z. (1997). Equilibrium valuation of foreign exchange claims. Journal of Finance, 52, 799-826.
-
(1997)
Journal of Finance
, vol.52
, pp. 799-826
-
-
Bakshi, G.1
Chen, Z.2
-
2
-
-
0040517321
-
Empirical performance of alternative option pricing models
-
Bakshi, G., Cao, C., & Chen, Z. (1997). Empirical performance of alternative option pricing models. Journal of Finance, 52, 2003-2049.
-
(1997)
Journal of Finance
, vol.52
, pp. 2003-2049
-
-
Bakshi, G.1
Cao, C.2
Chen, Z.3
-
4
-
-
0002127624
-
Variances of security price returns based on high, low, and closing prices
-
Beckers, S. (1983). Variances of security price returns based on high, low, and closing prices. Journal of Business, 56, 97-112.
-
(1983)
Journal of Business
, vol.56
, pp. 97-112
-
-
Beckers, S.1
-
5
-
-
0010997635
-
Transactions data tests of efficiency of the Chicago Board Options Exchange
-
Bhattacharya, M. (1983). Transactions data tests of efficiency of the Chicago Board Options Exchange. Journal of Financial Economics, 13, 161-185.
-
(1983)
Journal of Financial Economics
, vol.13
, pp. 161-185
-
-
Bhattacharya, M.1
-
6
-
-
0002863006
-
The valuation of currency options
-
Biger, N., & Hull, J. (1983). The valuation of currency options. Financial Management, 12, 24-28.
-
(1983)
Financial Management
, vol.12
, pp. 24-28
-
-
Biger, N.1
Hull, J.2
-
8
-
-
0001625619
-
Tests of an American option pricing model on the foreign currency options market
-
Bodurtha, J. N., Jr., & Courtadon, G. R. (1987a). Tests of an American option pricing model on the foreign currency options market. Journal of Financial and Quantitative Analysis, 22, 153-167.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 153-167
-
-
Bodurtha J.N., Jr.1
Courtadon, G.R.2
-
11
-
-
84974296074
-
Pricing European currency options: A comparison of the modified Black-Scholes model and a random variance model
-
Chesney, M., & Scott, L. (1989). Pricing European currency options: A comparison of the modified Black-Scholes model and a random variance model. Journal of Financial and Quantitative Analysis, 24, 267-284.
-
(1989)
Journal of Financial and Quantitative Analysis
, vol.24
, pp. 267-284
-
-
Chesney, M.1
Scott, L.2
-
12
-
-
33747736277
-
The information content of market prices and a test of market efficiency
-
Chirac, D. P., & Manaster, S. (1978). The information content of market prices and a test of market efficiency. Journal of Financial Economics, 6, 213-234.
-
(1978)
Journal of Financial Economics
, vol.6
, pp. 213-234
-
-
Chirac, D.P.1
Manaster, S.2
-
13
-
-
49049143130
-
The stochastic behavior of common stock variances: Value, leverage, and interest rate effects
-
Christie, A (1982). The stochastic behavior of common stock variances: Value, leverage, and interest rate effects. Journal of Financial Economics, 10, 407-432.
-
(1982)
Journal of Financial Economics
, vol.10
, pp. 407-432
-
-
Christie, A.1
-
14
-
-
0040165095
-
Option volume and stock prices: Evidence on where informed traders trade
-
Easley, D., O'Hara, M., & Srinivas, P. S. (1998).Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance, 53, 431-465.
-
(1998)
Journal of Finance
, vol.53
, pp. 431-465
-
-
Easley, D.1
O'Hara, M.2
Srinivas, P.S.3
-
15
-
-
45949117024
-
Expected stock returns and volatility
-
French, K. R., Schwert, W. G., & Stambaugh R. F., (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 3-29.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 3-29
-
-
French, K.R.1
Schwert, W.G.2
Stambaugh, R.F.3
-
17
-
-
0037836721
-
A closed-form solution for options with stochastic volatility with applications to bond and currency options
-
Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6, 327-343.
-
(1993)
The Review of Financial Studies
, vol.6
, pp. 327-343
-
-
Heston, S.1
-
18
-
-
84977709229
-
The pricing of options on assets with stochastic volatilities
-
Hull, J., & White, A. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42, 281-300.
-
(1987)
Journal of Finance
, vol.42
, pp. 281-300
-
-
Hull, J.1
White, A.2
-
22
-
-
21144472851
-
Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities
-
Lamoureux, C. G., & Lastrapes, W. D. (1993). Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities. The Review of Financial Studies, 6, 293-326.
-
(1993)
The Review of Financial Studies
, vol.6
, pp. 293-326
-
-
Lamoureux, C.G.1
Lastrapes, W.D.2
-
23
-
-
84944830176
-
Option pricing and replication with transaction costs
-
Leland, H. (1985). Option pricing and replication with transaction costs. Journal of Finance, 40, 1283-1301.
-
(1985)
Journal of Finance
, vol.40
, pp. 1283-1301
-
-
Leland, H.1
-
25
-
-
0010904211
-
-
Working Paper 8720, Department of Economics, University of Toronto, Canada
-
Melino, A., & Turnbull, S. M. (1987). The pricing of foreign currency options. Working Paper 8720, Department of Economics, University of Toronto, Canada.
-
(1987)
The Pricing of Foreign Currency Options
-
-
Melino, A.1
Turnbull, S.M.2
-
26
-
-
0005618944
-
Pricing foreign currency options with stochastic volatility
-
Melino, A., & Turnbull, S. M. (1990). Pricing foreign currency options with stochastic volatility. Journal of Econometrics, 45, 239-265.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 239-265
-
-
Melino, A.1
Turnbull, S.M.2
-
27
-
-
34248474317
-
Option pricing when underlying stock returns are discontinuous
-
Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125-144.
-
(1976)
Journal of Financial Economics
, vol.3
, pp. 125-144
-
-
Merton, R.C.1
-
28
-
-
38249005466
-
Stock price volatility, mean-reverting diffusion, and noise
-
Merville, L. J., & Pieptea, D. R. (1989). Stock price volatility, mean-reverting diffusion, and noise. Journal of Financial Economics, 24, 193-214.
-
(1989)
Journal of Financial Economics
, vol.24
, pp. 193-214
-
-
Merville, L.J.1
Pieptea, D.R.2
-
30
-
-
0039268012
-
The relative valuation of american currency spot and futures options: Theory and empirical tests
-
Ogden. J. P., & Tucker, A. L. (1988). The relative valuation of American currency spot and futures options: Theory and empirical tests. Journal of Financial and Quantitative Analysis, 23, 351-368.
-
(1988)
Journal of Financial and Quantitative Analysis
, vol.23
, pp. 351-368
-
-
Ogden, J.P.1
Tucker, A.L.2
-
31
-
-
24944554085
-
Option pricing when the variance changes randomly: Theory, estimation and an application
-
Scott, L. O. (1987). Option pricing when the variance changes randomly: Theory, estimation and an application. Journal of Financial and Quantitative Analysis, 22, 419-438.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 419-438
-
-
Scott, L.O.1
-
33
-
-
0010763442
-
On the use of European models to price american options on foreign currencies
-
Shastri, K., & Tandon, K. (1986b). On the use of European models to price American options on foreign currencies. The Journal of Futures Markets, 6, 93-108.
-
(1986)
The Journal of Futures Markets
, vol.6
, pp. 93-108
-
-
Shastri, K.1
Tandon, K.2
-
34
-
-
0001284767
-
Stock price distributions with stochastic volatilities: An analytic approach
-
Stein, E. M., & Stein, C. J. (1991). Stock price distributions with stochastic volatilities: An analytic approach. The Review of Financial Studies, 4, 727-752.
-
(1991)
The Review of Financial Studies
, vol.4
, pp. 727-752
-
-
Stein, E.M.1
Stein, C.J.2
-
35
-
-
84986532504
-
Empirical tests of the efficiency of the currency option market
-
Tucker, A. E. (1985). Empirical tests of the efficiency of the currency option market. Journal of Financial Research, 8, 275-285.
-
(1985)
Journal of Financial Research
, vol.8
, pp. 275-285
-
-
Tucker, A.E.1
-
36
-
-
49049138369
-
Valuation of Americal call options on dividend-paying stocks
-
Whaley, R. (1982). Valuation of Americal call options on dividend-paying stocks. Journal of Financial Economics, 10, 29-57.
-
(1982)
Journal of Financial Economics
, vol.10
, pp. 29-57
-
-
Whaley, R.1
-
37
-
-
45949112947
-
Option values under stochastic volatilities: Theory and empirical estimates
-
Wiggins, J. B. (1987). Option values under stochastic volatilities: Theory and empirical estimates. Journal of Financial Economics, 19, 351-372.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 351-372
-
-
Wiggins, J.B.1
|