Pricing foreign exchange options : incorporating purchasing power parity /
This book develops a new and interesting approach to the valuation of foreign exchange options. The authors synthesise international monetary theory with the Samuelson-Black-Scholes insight that assets prices follow diffusion processes, and obtain a system of stochastic differential equations to mod...
| Основен автор: | Yeung, David. |
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| Други автори: | Cheung, Michael Tow. |
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Hong Kong :
Hong Kong University Press,
1998.
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| Издание: | 2nd ed. |
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=321939 |
| Подобни документи: |
Съдържа се в:
Digital Editions from Hong Kong University Press. Print version:: Pricing foreign exchange options. |
| Резюме: |
This book develops a new and interesting approach to the valuation of foreign exchange options. The authors synthesise international monetary theory with the Samuelson-Black-Scholes insight that assets prices follow diffusion processes, and obtain a system of stochastic differential equations to model exchange rate dynamics under the influence of purchasing power parity. An exact formula to price foreign currency options is obtained, which incorporates the influence of its purchasing power parity. The book is essential to advanced undergraduate and graduate students who wish to learn about the modern theory of foreign exchange options. Since its results are completely operational, the book will also prove to be invaluable for practitioners in the financial markets. |
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| Физически характеристики: |
1 online resource (91 pages) : illustrations |
| Библиография: |
Includes bibliographical references and index. |
| ISBN: |
9789882202535 9882202535 9789622094543 9622094546 |