| Document Type
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BL
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| Record Number
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961265
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| Doc. No
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b715635
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| Main Entry
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Yeung, David.
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| Title & Author
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Pricing foreign exchange options : : incorporating purchasing power parity /\ David W.K. Yeung, Michael Tow Cheung.
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| Edition Statement
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2nd ed.
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| Publication Statement
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Hong Kong :: Hong Kong University Press,, 1998.
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| Page. NO
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1 online resource (91 pages) :: illustrations
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| ISBN
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9622094546
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: 9789622094543
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: 9789882202535
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: 9882202535
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9622094546
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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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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| Abstract
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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.
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| Subject
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Foreign exchange-- Mathematical models.
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| Subject
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Options (Finance)-- Prices-- Mathematical models.
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| Subject
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BUSINESS ECONOMICS-- Finance.
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| Subject
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BUSINESS ECONOMICS-- Foreign Exchange.
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| Subject
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Foreign exchange-- Mathematical models.
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| Subject
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Options (Finance)-- Prices-- Mathematical models.
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| Dewey Classification
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332.45
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| LC Classification
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HG3823.C54 1998eb
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| Added Entry
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Cheung, Michael Tow.
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