Efficiency of the foreign currency options market
This paper provides a new test of the efficiency of the currency option markets for four major cyrrencies -British Pound, Euro, Swiss Frank and Japanese Yen vis-a-vis the U.S. dollar. The approach is to simulate trading strategies to see if the well accepted no-arbitrage condition of put-call parity...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV, North-Holland
2008
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| Online Access: | http://hdl.handle.net/20.500.11937/18699 |