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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Main Author: Yeung, David.
Other Authors: Cheung, Michael Tow.
Format: Book Electronic
Language:English
Published:Hong Kong : Hong Kong University Press, 1998.
Edition:2nd ed.
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Elmhurst College

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Online Access:EBSCOhost Access is available only to authorized users.