Bodurtha, James N.; Courtadon, Georges R. - In: Journal of Financial and Quantitative Analysis 22 (1987) 02, pp. 153-167
This paper tests the ability of the American option pricing model proposed by Parkinson [18] or Mason [14] to explain the pricing of the foreign currency options traded on the Philadelphia Stock Exchange from February 28, 1983 to March 26, 1985. We find that the model underprices...
