The performance of alternative valuation models in the OTC currency options market

Journal of International Money and Finance

Volumn 22, Issue 1, 2003, Pages 33-64

  Bollen, Nicolas P B ^a   Rasiel, Emma ^b  

^a VANDERBILT UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Currency options; GARCH; Jump diffusion; Option valuation; Regime switching

Indexed keywords

EID: 0037307495     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(02)00073-6     Document Type: Article

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