A STUDY OF DIFFUSION-PROCESSES FOR FOREIGN-EXCHANGE RATES

被引:9
作者
TUCKER, AL
SCOTT, E
机构
[1] UNIV TENNESSEE, KNOXVILLE, TN 37996 USA
[2] FLORIDA STATE UNIV, TALLAHASSEE, FL 32306 USA
关键词
D O I
10.1016/0261-5606(87)90023-4
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:465 / 478
页数:14
相关论文
共 33 条
[1]   INTERNATIONAL PORTFOLIO CHOICE AND CORPORATION FINANCE - A SYNTHESIS [J].
ADLER, M ;
DUMAS, B .
JOURNAL OF FINANCE, 1983, 38 (03) :925-984
[2]  
ANG J, 1984, FINANCIAL REV, V19, P372
[3]  
ANG J, 1984, J FINANC RES, V7, P219
[4]  
[Anonymous], 1982, J INT MONEY FINANC, DOI DOI 10.1016/0261-5606(82)90004-3
[5]   THE CONSTANT ELASTICITY OF VARIANCE MODEL AND ITS IMPLICATIONS FOR OPTION PRICING [J].
BECKERS, S .
JOURNAL OF FINANCE, 1980, 35 (03) :661-673
[6]   STANDARD DEVIATIONS IMPLIED IN OPTION PRICES AS PREDICTORS OF FUTURE STOCK-PRICE VARIABILITY [J].
BECKERS, S .
JOURNAL OF BANKING & FINANCE, 1981, 5 (03) :363-381
[7]   THE VALUATION OF CURRENCY OPTIONS [J].
BIGER, N ;
HULL, J .
FINANCIAL MANAGEMENT, 1983, 12 (01) :24-28
[8]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[9]  
Black F., 1975, FINANCIAL ANAL J, V31, P36, DOI DOI 10.2469/FAJ.V31.N4.36
[10]  
BLACK F, 1976, P M AM STATISTICAL A