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An empirical investigation of the early exercise premium of foreign currency options

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  • Philippe Jorion
  • Neal M. Stoughton

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  • Philippe Jorion & Neal M. Stoughton, 1989. "An empirical investigation of the early exercise premium of foreign currency options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(5), pages 365-375, October.
    • Handle: RePEc:wly:jfutmk:v:9:y:1989:i:5:p:365-375
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    Cited by:

    1. Michael J. Dueker & Thomas W. Miller, 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis.
    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. Geoffrey Poitras & Chris Veld & Yuriy Zabolotnyuk, 2009. "European Put-Call Parity and the Early Exercise Premium for American Currency Options," Multinational Finance Journal, Multinational Finance Journal, vol. 13(1-2), pages 39-54, March-Jun.

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