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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245 1 0 |a Pricing foreign exchange options :  |b incorporating purchasing power parity /  |c David W.K. Yeung, Michael Tow Cheung. 
250 |a 2nd ed. 
260 |a Hong Kong :  |b Hong Kong University Press,  |c 1998. 
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504 |a Includes bibliographical references and index. 
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505 0 |a 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. 
520 |a 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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