Pricing U.S. Dollar Index Futures Options: An Empirical Investigation
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DOI: 10.1111/1540-6288.00061
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References listed on IDEAS
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Cited by:
- Salmon, Mark & Schleicher, Christoph & Hurd, Matthew, 2005.
"Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index,"
CEPR Discussion Papers
5114, C.E.P.R. Discussion Papers.
- Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007. "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England working papers 334, Bank of England.
- Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," Computing in Economics and Finance 2005 215, Society for Computational Economics.
- Giannetti, Antoine & Clark, John M. & Anderson, Randy I., 2004. "Model risk and option hedging," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 659-677, December.
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