𝔖 Bobbio Scriptorium
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On the Information Content of Prices

✍ Scribed by Kenneth D. Garbade, Jay L. Pomrenze and William L. Silber

Book ID
125650300
Publisher
American Economic Association
Year
1979
Tongue
English
Weight
315 KB
Volume
69
Category
Article
ISSN
0002-8282

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πŸ“œ SIMILAR VOLUMES

Information content of cross-sectional o
Information content of cross-sectional option prices: A comparison of alternative currency option pricing models on the Japanese yen
✍ Brice Dupoyet πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 229 KB πŸ‘ 1 views

## Abstract This article implements a currency option pricing model for the general case of stochastic volatility, stochastic interest rates, and jumps in an attempt to reconcile levels of risk‐neutral skewness and kurtosis with observed option prices on the Japanese yen and to analyze the informat