Foreign currency option values
Тип публикации: Journal Article
Дата публикации: 1983-12-01
SCImago Q1
WOS Q1
БС1
SJR: 1.364
CiteScore: 6.6
Impact factor: 3.6
ISSN: 02615606, 18730639
Economics and Econometrics
Finance
Краткое описание
Foreign exchange options are a recent market innovation. The standard Black-Scholes option-pricing model does not apply well to foreign exchange options, since multiple interest rates are involved in ways differing from the Black-Scholes assumptions. The present paper develops alternative assumptions leading to valuation formulas for foreign exchange options. These valuation formulas have strong connections with the commodity-pricing model of Black (1976) when forward prices are given, and with the proportional-dividend model of Samuelson and Merton (1969) when spot prices are given.
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682
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682
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ГОСТ
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Garman M. B., Kohlhagen S. W. Foreign currency option values // Journal of International Money and Finance. 1983. Vol. 2. No. 3. pp. 231-237.
ГОСТ со всеми авторами (до 50)
Скопировать
Garman M. B., Kohlhagen S. W. Foreign currency option values // Journal of International Money and Finance. 1983. Vol. 2. No. 3. pp. 231-237.
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RIS
Скопировать
TY - JOUR
DO - 10.1016/s0261-5606(83)80001-1
UR - https://doi.org/10.1016/s0261-5606(83)80001-1
TI - Foreign currency option values
T2 - Journal of International Money and Finance
AU - Garman, Mark B.
AU - Kohlhagen, Steven W
PY - 1983
DA - 1983/12/01
PB - Elsevier
SP - 231-237
IS - 3
VL - 2
SN - 0261-5606
SN - 1873-0639
ER -
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BibTex (до 50 авторов)
Скопировать
@article{1983_Garman,
author = {Mark B. Garman and Steven W Kohlhagen},
title = {Foreign currency option values},
journal = {Journal of International Money and Finance},
year = {1983},
volume = {2},
publisher = {Elsevier},
month = {dec},
url = {https://doi.org/10.1016/s0261-5606(83)80001-1},
number = {3},
pages = {231--237},
doi = {10.1016/s0261-5606(83)80001-1}
}
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MLA
Скопировать
Garman, Mark B., and Steven W Kohlhagen. “Foreign currency option values.” Journal of International Money and Finance, vol. 2, no. 3, Dec. 1983, pp. 231-237. https://doi.org/10.1016/s0261-5606(83)80001-1.
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