The Valuation of Currency Options
1983; Wiley; Volume: 12; Issue: 1 Linguagem: Inglês
10.2307/3664834
ISSN1755-053X
Autores Tópico(s)Economic theories and models
Resumoextended with its underlying assumptions being relaxed. The model has also found many applications in finance. Smith [6] provides a good overall review of the subject. Options on a foreign currency can be defined in the same way as options on a stock. For example, a European call option on a foreign currency is an option to buy one unit of the currency on a predetermined date at a predetermined exchange rate. At the time of writing there is no well-organized market for foreign currency options. However, the Philadelphia, Montreal and Vancouver stock exchanges have all submitted proposals for the creation of such a market.
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