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On the pricing of European and American foreign currency call options

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  • Adams, Paul D.
  • Wyatt, Steve B.

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  • Adams, Paul D. & Wyatt, Steve B., 1987. "On the pricing of European and American foreign currency call options," Journal of International Money and Finance, Elsevier, vol. 6(3), pages 315-338, September.
    • Handle: RePEc:eee:jimfin:v:6:y:1987:i:3:p:315-338
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    Cited by:

    1. Vivek Bhargava & Robert Brooks & D. K. Malhotra, 2001. "Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 231-246.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    3. El-Mekkaoui, Mazen & Flood, Mark D., 1998. "Put-call parity revisited: intradaily tests in the foreign currency options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 357-376, December.

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