Siegel's paradox and the pricing of currency options. Dumas, B., Jennergren, L. P., & Näslund, B. Journal of International Money and Finance, 14(2):213–223, April, 1995.
Siegel's paradox and the pricing of currency options [link]Paper  bibtex   
@article{Dumas1995b,
  added-at = {2008-04-23T22:05:04.000+0200},
  author = {Dumas, Bernard and Jennergren, L. Peter and N{\"a}slund, Bertil},
  biburl = {https://www.bibsonomy.org/bibtex/2c6f35e72dd816f5338b0433eb4e03964/smicha},
  interhash = {1b103f6c17ae4ff313d6bbdf98e3ae71},
  intrahash = {c6f35e72dd816f5338b0433eb4e03964},
  journal = {Journal of International Money and Finance},
  keywords = {imported},
  month = Apr,
  number = 2,
  pages = {213--223},
  timestamp = {2008-04-23T22:12:56.000+0200},
  title = {Siegel's paradox and the pricing of currency options},
  url = {http://www.sciencedirect.com/science/article/B6V9S-3Y45TM5-15/1/eeb5648b3c1b3a2f8efb4da12d1552ea},
  volume = 14,
  year = 1995
}

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