Hilliard, Jimmy E.; Madura, Jeff; Tucker, Alan L. - In: Journal of Financial and Quantitative Analysis 26 (1991) 02, pp. 139-151
This study develops a currency option pricing model under stochastic interest rates when interest rate parity holds, and it is assumed that domestic and foreign bond prices have local variances that depend only on time. We demonstrate how existing currency option models are simply derived from...
