Chung, San-Lin; Wang, Yaw-Huei - In: Journal of Banking & Finance 32 (2008) 5, pp. 631-642
This paper derives the pricing bounds of a currency cross-rate option using the option prices of two related dollar rates via a copula theory and presents the analytical properties of the bounds under the Gaussian framework. Our option pricing bounds are useful, because (1) they are general in...