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On the Pricing of Cross Currency Futures Options for Canadian Grains and Livestock

✍ Scribed by Calum G. Turvey; Shihong Yin


Book ID
111332237
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
75 KB
Volume
50
Category
Article
ISSN
0008-3976

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## 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