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The Pricing of Foreign Currency Options

✍ Scribed by Angelo Melino and Stuart M. Turnbull

Book ID
125005305
Publisher
John Wiley and Sons
Year
1991
Tongue
English
Weight
615 KB
Volume
24
Category
Article
ISSN
0008-4085

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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