Bhargava, Vivek; Clark, John M. - In: The Financial Review 38 (2003) 4, pp. 571-590
This paper develops a pricing model and empirically tests the pricing efficiency of options on the U.S. Dollar Index (USDX) futures contract. Empirical tests of the model indicate that the market consistently overprices these options relative to the derived model. This overpricing is more...