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Pricing of foreign exchange options with transaction costs: The choice of trading interval

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  • Hauser, Schmuel
  • Levy, Azriel

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  • Hauser, Schmuel & Levy, Azriel, 1996. "Pricing of foreign exchange options with transaction costs: The choice of trading interval," International Review of Financial Analysis, Elsevier, vol. 5(2), pages 145-160.
    • Handle: RePEc:eee:finana:v:5:y:1996:i:2:p:145-160
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    References listed on IDEAS

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    1. Leland, Hayne E, 1985. "Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    2. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 117-138, March.
    3. Perrakis, Stylianos, 1986. "Option Bounds in Discrete Time: Extensions and the Pricing of the American Put," The Journal of Business, University of Chicago Press, vol. 59(1), pages 119-141, January.
    4. Levy, Haim, 1985. "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, American Finance Association, vol. 40(4), pages 1197-1217, September.
    5. repec:bla:jfinan:v:43:y:1988:i:2:p:301-08 is not listed on IDEAS
    6. Whaley, Robert E, 1986. "Valuation of American Futures Options: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 41(1), pages 127-150, March.
    7. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
    8. Boyle, Phelim P & Vorst, Ton, 1992. "Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-293, March.
    9. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
    10. Klaus Bjerre Toft., 1994. "Exact Formulas for Expected Hedging Error and Transactions Costs in Option Replication," Research Program in Finance Working Papers RPF-237, University of California at Berkeley.
    11. Ritchken, Peter H, 1985. "On Option Pricing Bounds," Journal of Finance, American Finance Association, vol. 40(4), pages 1219-1233, September.
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