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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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Yeung, David
Otros Autores: Cheung, Michael Tow
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hong Kong : Hong Kong University Press, 1998.
Edición:2nd ed.
Temas:
Foreign exchange > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Change > Modèles mathématiques.
Options (Finances) > Prix > Modèles mathématiques.
BUSINESS & ECONOMICS > Foreign Exchange.
BUSINESS & ECONOMICS > Finance.
Foreign exchange > Mathematical models
Options (Finance) > Prices > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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