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The Cash Premium: Option Pricing Under Asymmetric Processes, with Applications to Options on Deutschemark Futures

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  • David S. Bates

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  • David S. Bates, "undated". "The Cash Premium: Option Pricing Under Asymmetric Processes, with Applications to Options on Deutschemark Futures," Rodney L. White Center for Financial Research Working Papers 36-88, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:36-88
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    Cited by:

    1. van Norden, Simon, 1996. "Regime Switching as a Test for Exchange Rate Bubbles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 219-251, May-June.
    2. Weston Barger & Matthew Lorig, 2017. "Approximate pricing of European and Barrier claims in a local-stochastic volatility setting," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-31, June.
    3. Shuxin Guo & Qiang Liu, 2019. "The Black-Scholes-Merton dual equation," Papers 1912.10380, arXiv.org.
    4. Peter Carr & Roger Lee & Matthew Lorig, 2015. "Robust replication of barrier-style claims on price and volatility," Papers 1508.00632, arXiv.org, revised Jan 2022.
    5. Dupont, Dominique Y., 2001. "Hedging Barrier Options: Current Methods and Alternatives," Economics Series 103, Institute for Advanced Studies.

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