Pricing foreign exchange options : incorporating purchasing power parity /

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Bibliographic Details
Author / Creator:Yeung, David.
Edition:2nd ed.
Imprint:Hong Kong : Hong Kong University Press, 1998.
Description:1 online resource (91 pages) : illustrations
Language:English
Subject:
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11226149
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Other authors / contributors:Cheung, Michael Tow.
ISBN:9789882202535
9882202535
9789622094543
9622094546
9622094546
Notes:Includes bibliographical references and index.
Print version record.
Summary: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.
Other form:Print version: Yeung, David. Pricing foreign exchange options. 2nd ed. Hong Kong : Hong Kong University Press, 1998 9789622094543