haku: @journal_id 62 / yhteensä: 680
viite: 247 / 680
| Tekijä: | Bodurtha, J. N. Courtadon, G. R. |
| Otsikko: | Tests of an American option pricing model of the foreign currency options market. |
| Lehti: | Journal of Financial and Quantitative Analysis
1987 : JUN, VOL. 22:2, p. 153-167 |
| Asiasana: | CURRENCY OPTIONS |
| Kieli: | eng |
| Tiivistelmä: | We test the explanatory power of the American option pricing model due to Parkinson or Mason w.r.t. the pricing of the foreign currency options traded on the Philadelphia Stock Exchange in 1983-85. It is found that the model underprices out-of-the-money options relative to at-the-money and in-the- money options. In addition, the degree of relative misprizing for most categories of options turns to be a decreasing function of the time to maturity of the options. |
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