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. |
|---|---|
| Други автори: | Cheung, Michael Tow. |
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Hong Kong :
Hong Kong University Press,
1998.
|
| 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. |
Съдържание:
- FOREWORD BY STEVEN N.S. CHEUNG; ACKNOWLEDGEMENTS; TABLE OF CONTENTS; CHAPTER 1 PREAMBLE; CHAPTER 2 DEFINITIONS AND TERMINOLOGY; CHAPTER 3 TECHNICAL GLOSSARY; CHAPTER 4 STOCHASTIC ASSUMPTIONS AND OPTION PRICING; CHAPTER 5 THE BLACK-SCHOLES OPTIONS THEORY; CHAPTER 6 GEOMETRIC BROWNIAN MOTION, "ALMOST CERTAIN RUIN", AND ASSET MARKETS EQUILIBRIUM IN OPTIONS PRICING; CHAPTER 7 NON RANDOM WALK EFFECTS AND A NEW STOCHASTIC SPECIFICATION; CHAPTER 8 PRICING FOREIGN EXCHANGE OPTIONS INCORPORATING PURCHASING POWER PARITY; CHAPTER 9 CONCLUSIONS; A Note on Software; Index.