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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | Pricing European currency options: a comparison of the modified Black-Scholes model and a random variance model |
Organization Unit | |
Authors |
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Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Journal Title | Journal of Financial and Quantitative Analysis |
Publisher | Cambridge University Press |
Geographical Reach | international |
Volume | 24 |
Number | 3 |
Page Range | 267 - 284 |
Date | 1989 |
Abstract Text | We use the modified Black-Scholes model and a random variance option pricing model tostudy prices of European currency options traded in Geneva. The options, which cannot be exercised early, include calls and puts on the dollar/Swiss franc exchange rate. In the empirical analysis, we examine the model fit and the biases with respect to the strike price, time to maturity, and volatility. There is some evidence of mispricing and there are small gains available by trading with the random variance model. |
Free access at | Official URL |
Digital Object Identifier | 10.2307/2330812 |
Other Identification Number | merlin-id:4688 |
PDF File | Download from ZORA |
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