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...

This study investigates pricing efficiency in the yen-dollar currency swap dealer market. Swap mid-rate adjustments are examined to determine how prices adjust to changes in supply and demand. Bid-ask spreads are investigated to find evidence of term premiums. Swap rates are compared to yields...