𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The pricing of call and put options on foreign exchange

✍ Scribed by J. Orlin Grabbe


Book ID
117427829
Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
804 KB
Volume
2
Category
Article
ISSN
0261-5606

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Price discovery in the options markets:
✍ Wen-Liang G. Hsieh; Chin-Shen Lee; Shu-Fang Yuan πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 336 KB

## Abstract This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put‐call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviat