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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Pricing Foreign Exchange Options: Incorporating Purchasing Power Parity, Second Edition

Pricing Foreign Exchange Options: Incorporating Purchasing Power Parity, Second Edition

Yeung, David W. K.
Cheung, Michael Tow

Paperback

EconomicsInvesting & Finance

Currently unavailable to order

ISBN10: 9622094546
ISBN13: 9789622094543
Publisher: Hong Kong Univ Pr
Published: Feb 1 1998
Pages: 104
Language: English
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.

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