Efficiency of the foreign currency options market

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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...

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Bibliographic Details
Main Authors:	Hoque, Mohammed, Chan, Felix, Manzur, Meher
Format:	Journal Article
Published:	Elsevier BV, North-Holland 2008
Online Access:	http://hdl.handle.net/20.500.11937/18699

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