2 options
Pricing foreign exchange options : incorporating purchasing power parity / David W.K. Yeung, Michael Tow Cheung.
- Format:
- Book
- Author/Creator:
- Yeung, David.
- Language:
- English
- Subjects (All):
- Foreign exchange--Mathematical models.
- Foreign exchange.
- Options (Finance)--Prices--Mathematical models.
- Options (Finance).
- Physical Description:
- 1 online resource (105 p.)
- Edition:
- 2nd ed.
- Place of Publication:
- Hong Kong : Hong Kong University Press, 1998.
- Language Note:
- English
- 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.
- Contents:
- Ch. 1. Preamble
- Ch. 2. Definitions and Terminology
- Ch. 3. Technical Glossary
- Ch. 4. Stochastic Assumptions and Option Pricing
- Ch. 5. The Black-Scholes Options Theory
- Ch. 6. Geometric Brownian Motion, "Almost Certain Ruin", and Asset Markets Equilibrium in Options Pricing
- Ch. 7. Non Random Walk Effects and a New Stochastic Specification
- Ch. 8. Pricing Foreign Exchange Options Incorporating Purchasing Power Parity
- Ch. 9. Conclusions.
- Notes:
- Description based upon print version of record.
- Description based on print version record.
- Includes bibliographical references and index.
- ISBN:
- 1-282-70387-0
- 9786612703874
- 988-220-253-5
- OCLC:
- 651026496
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