Pricing Foreign Exchange Options

Incorporating Purchasing Power Parity, Second Edition

von David W. K. Yeung, Michael Tow Cheung

Taschenbuch

Kurzbeschreibung des Verlags

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.

• Reihe: Hong Kong University Press
• ISBN: 9789622094543
• Sprache: Englisch
• Erscheinungsdatum: 01.02.1998
• Größe: 229 x 152 mm
• Verlag: Hong Kong University Press