You are not currently logged in.
Access JSTOR through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model
Marc Chesney and Louis Scott
The Journal of Financial and Quantitative Analysis
Vol. 24, No. 3 (Sep., 1989), pp. 267-284
Published by: Cambridge University Press on behalf of the University of Washington School of Business Administration
Stable URL: http://www.jstor.org/stable/2330812
Page Count: 18
You can always find the topics here!Topics: Prices, Statistical variance, Pricing, Call options, Modeling, Currency, Strike prices, Statistical models, Quantitative analysis, Exchange rates
Were these topics helpful?See somethings inaccurate? Let us know!
Select the topics that are inaccurate.
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
We use the modified Black-Scholes model and a random variance option pricing model to study prices of European currency options traded in Geneva. The options, which cannot be exercised early, include calls and puts on the dollar/Swiss franc exchange rate. In the empirical analysis, we examine the model fit and the biases with respect to the strike price, time to maturity, and volatility. There is some evidence of mispricing and there are small gains available by trading with the random variance model.
The Journal of Financial and Quantitative Analysis © 1989 University of Washington School of Business Administration