caa a22 4500 386309140 CHVBK 20180307111539.0 cr unu---uuuuu 161130e198812 xx s 000 0 eng 10.2307/2331076 doi S002210900001320X pii (NATIONALLICENCE)cambridge-10.2307/2331076 The Relative Valuation of American Currency Spot and Futures Options: Theory and Empirical Tests [Elektronische Daten] This study empirically tests contingent claims pricing models for American currency spot and futures options. Numerical analysis indicates that the difference in the model prices of spot and futures put (call) options (with the same exercise price and maturity) is, for a premium (discount) currency, positive and an increasing function of (a) the absolute difference in the prices of the underlying spot and futures contracts and (b) the maturity of the options. Tests on British pound, Deutsche mark, and Swiss franc options indicate many violations of the ordinal pricing relationships noted above. Additional tests indicate that option prices are inconsistent with functional relationship (b) above. Most of the observed violations are sufficiently large to provide arbitrage profits net of transaction costs, assuming interest rates are constant and the Interest Rate Parity theorem holds continuously. Alternatively, both the violations and the inconsistent functional relationship may be due to violation of the assumption of constant interest rates. Copyright © School of Business Administration, University of Washington 1988 Ogden Joseph P. Tucker Alan L. Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 351-368 0022-1090 23:4<351 1988 23 JFQ https://doi.org/10.2307/2331076 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331076 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Ogden Joseph P. NATIONALLICENCE 700 1- Tucker Alan L. NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 351-368 0022-1090 23:4<351 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge