The Valuation of Currency Options: Comment

Abstract

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Pricing cross‐currency options

“…Shastri and Tandon (1986) use this assumption to price American currency options by extending the Geske and Johnson (1984) model. Pitts (1984) challenges the Biger and Hull results by exploring the consequences of a stochastic foreign interest rate. His result does not address the questions raised in pricing cross-currency options.…”