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...

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Bibliographic Details
Main Author: Yeung, David.
Other Authors: Cheung, Michael Tow.
Format: eBook
Language:English
Published: Hong Kong : Hong Kong University Press, 1998.
Edition:2nd ed.
Subjects:
Online Access:CONNECT
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Description
Summary: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.
Physical Description:1 online resource (91 pages) : illustrations
Bibliography:Includes bibliographical references and index.
ISBN:9789882202535
9882202535
9789622094543
9622094546