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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| Format: | eBook |
| Language: | English |
| Published: |
Hong Kong :
Hong Kong University Press,
1998.
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| Edition: | 2nd ed. |
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| Online Access: | CONNECT CONNECT CONNECT |
