Similar Search Results

The Garman and Kolhagen model versus a currency option pricing model with stochastic interest rates and transaction costs

Tamborski, Mariusz - 1994

Persistent link: https://www.econbiz.de/10000881522

Efficiency of the forward foreign exchange market : a stability analysis using Canadian/United States weekly and monthly data

Gregory, Allan - 1982

Persistent link: https://www.econbiz.de/10000324804

The Wiener process, variance measurement and option pricing : evidence from intra-daily data on foreign exchange

Wasserfallen, Walter; Zimmermann, Heinz - 1986

Persistent link: https://www.econbiz.de/10000713691

Floating exchange rates, expectations and new information : Is the forward rate really a good predictor?

Bean, Charles R. - 1983

Persistent link: https://www.econbiz.de/10003484662

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

McCurdy, Thomas H.; Morgan, Ieuan G. - 1986

Persistent link: https://www.econbiz.de/10003532268

Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market

Hossfeld, Oliver; Röthig, Andreas - 2015

We address the question of whether various types of speculative investor correctly anticipate future USD/EUR currency movements or whether they tend rather to react to past exchange rate movements. Throughout the analysis, we differentiate between large and small traders, and an upper bound of...