Data
Try those sites:
http://www.olsen.ch/ (Contact Michel Dacorogna Giuseppe Ballocchi)
http://www.matif.fr/ (Contact Sylvie Larrede Tel: +33 (01) 40 28 82 82)
Regards,
Gabriele
-----Original Message-----
From: Roberto Baviera [mailto:[log in to unmask]]
Sent: 09 April 1999 13:46
To: [log in to unmask]
Subject: Options & efficiency
Dear list members,
I would like to ask two questions:
1) Do you know how (and from whom) one can buy
TICK DATA of Options on Currency Exchange (American or European)?
All kind of information can be useful.
2) American Put Option Price in finite time horizon
Somebody (Kirill Ilinski if I remember correctly) told me
that there exists a pricing formula for American Put
even in the case with FINITE TIME HORIZON.
I would like to have a reference,
possibly where the hypothesis and the final formula are
written in an "easy readable" way
(I'm not interested in the derivation).
Finally as suggested by Gabriele I would like to inform
the interest people that recently two new papers related to
efficiency in currency exchange markets
have appeared on the web:
1) Efficiency in foreign exchange markets
available in "http://papers.ssrn.com/sol3/paper.taf?ABSTRACT_ID=147129"
2) Markovian approximation in foreign exchange markets
available in "http://babbage.sissa.it/abs/cond-mat/9903144"
Sincerely yours,
Roberto
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Roberto Baviera
Dipartimento di Fisica and I.N.F.M.
Universita' de L'Aquila
I-67100 Coppito (AQ) Italy
e-mail:[log in to unmask]
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