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G. Sarwar and T. Krehbiel, “Empirical Performance of Alternative Piecing Models of Currency Options,” The Journal of Futures Markets, Vol. 20, No. 2, March 2000, pp. 265-291. doi:10.1002/(SICI)1096-9934(200003)20:3<265::AID-FUT4>3.0.CO;2-4

has been cited by the following article:

• TITLE: Pricing European Call Currency Option Based on Fuzzy Estimators

  AUTHORS: Xing Yu, Hongguo Sun, Guohua Chen

  KEYWORDS: Currency Option, Fuzzy Estimators, Fuzzy Volatility, G-K Model

  JOURNAL NAME: Applied Mathematics, Vol.2 No.4, March 31, 2011

  ABSTRACT: In this paper we present an application of fuzzy estimators method to price European call currency option. We make use of fuzzy estimators for the volatility of exchange rate which based on statistical data to obtain the fuzzy pattern of G-K model. A numerical example is presented to get the -level closed intervals of the European call currency option fuzzy price.