On the use of European models to price A
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Kuldeep Shastri; Kishore Tandon
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Article
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1986
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John Wiley and Sons
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English
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ecent theoretical research has developed two valuation models for pricing R options on foreign currency-a European version and a more complex American variant. The purpose of this article is to compare the pricing behavior of the two models. Our simulations show that the European model performs well