Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
type: Item
instance of: scholarly article
title: Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
zbMATH Open document ID: 0947.91037
DOI: 10.1016/S0377-2217(95)00366-5
author: Niklas Ekvall
author: L. Peter Jennergren
author: Bertil Näslund
published in: European Journal of Operational Research
publication date: 1999-04-22T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1252695
zbMATH Keywords: finance
zbMATH Keywords: currency options
MaRDI profile type: Publication
cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
cites work: An equilibrium characterization of the term structure
full work available at URL: s0377-2217(95)00366-5
OpenAlex ID: W2021613238
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description: scientific article; zbMATH DE number 1252695