haku: @journal_id 780 / yhteensä: 133
viite: 111 / 133
| Tekijä: | Nawalkha, S. Chambers, D. |
| Otsikko: | A note on currency option pricing |
| Lehti: | International Review of Financial Analysis
1995 : VOL. 4:1, p. 81-84 |
| Asiasana: | CURRENCY OPTIONS OPTION PRICES PRICING |
| Kieli: | eng |
| Tiivistelmä: | This paper clarifies and extends recent currency option pricing research that attempts to incorporate stochastic domestic and foreign interest rates. The authors give an alternative perspective on the currency option pricing model of Hilliard, Madura, and Tucker (1991) by identifying it with the constant forward rate volatility term structure model of Heath, Jarrow and Morton (1992). The arithmetic random walk process for the instantaneous short rate, considered by Hilliard, Madura and Tucker (1991) for the empirical testing of their currency option pricing model, is shown to imply an unreasonable shape for the term structure of interest rates. |
SCIMA