Pricing Foreign Exchange Options: Incorporating Purchasing Power Parity

Pricing Foreign Exchange Options: Incorporating Purchasing Power Parity

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LF/819617225/R
English
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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.
LF/819617225/R

Data sheet

Name of the Author
David
Michael Towcheung
Ph.D. Yeung
Language
English
ISBN
9789622094543
Release date
1998

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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...

Write your review

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