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...

Full description

Saved in:
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
CONNECT
Table of Contents:
  • 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.