Options on foreign exchange:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Wiley
2000
|
| Edition: | 2. ed. |
| Series: | Wiley series in financial engineering
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 222 S. Ill., graph. Darst. |
| ISBN: | 0471316415 |
Staff View
MARC
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| 245 | 1 | 0 | |a Options on foreign exchange |c David F. DeRosa |
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface xi
Acknowledgments xiii
1 Introduction to the Currency Option Market 1
History and Size of the Market 1
Option Basics 2
Exotic Options 4
2 Foreign Exchange Basics 7
The International Monetary System 7
Spot Foreign Exchange and Market Conventions 11
Foreign Exchange Dealing 17
Interest Parity and Forward Foreign Exchange 23
3 Trading Currency Options 29
The Interbank Currency Option Market 29
Listed Options on Actual Foreign Currency 35
The Currency Futures and Futures Options Market 38
4 European Currency Options 47
Arbitrage Theorems 48
Put Call Parity for European Currency Options 50
The Black Scholes Merton Model 53
How Currency Options Trade in the Interbank Market 62
Reflections on the Contribution of Black,
Scholes, and Merton 65
vii
viii Contents
5 European Currency Option Analytics 67
Base Case Analysis 67
The Greeks 69
Special Properties of At the Money Forward Options 78
Directional Trading with Currency Options 80
Hedging with Currency Options 89
Appendix: Derivation of Delta 92
6 Volatility 97
The Various Meanings of Volatility 97
The Volatility Term Structure 104
Forward Volatility 105
Smiles, Risk Reversals, and the
Implied Volatility Surface 106
Risk Neutral Densities 108
Dealing in Currency Options 110
Extensions of the BSM Model 112
Trading Volatility 117
7 American Exercise Currency Options 123
Arbitrage Conditions 123
Put Call Parity for American Currency Options 124
General Theory of American Currency Option Pricing 127
The Economics of Early Exercise 129
The Binomial Model 133
The Binomial Model for European Currency Options 140
American Currency Options by Approximation 141
8 Currency Futures Options 147
Currency Futures and Their Relationship to Spot and
Forward Exchange Rates 147
Arbitrage and Parity Theorems for
Currency Futures Options 152
Black s Model for European Currency Futures Options 159
The Valuation of American Currency Futures Options 162
Contents ix
9 Barrier Currency Options 169
Single Barrier Currency Options 170
Static Replication of Barrier Options 177
Stopping Time 180
Binomial and Trinomial Models 181
Double Barrier Knock out Options 183
Binary Barrier Options 185
Contingent Premium Options 191
What the Formulas Don t Reveal 192
10 Nonbarrier Exotic Currency Options 195
Average Rate and Average Strike Currency Options 195
Compound Currency Options 199
Basket Options 202
Quantos Options 204
Comments on Hedging with
Nonbarrier Currency Options 205
Bibliography 207
Index 217
|
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| id | DE-604.BV013020526 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:37:48Z |
| institution | BVB |
| isbn | 0471316415 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008871111 |
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| physical | XIII, 222 S. Ill., graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley series in financial engineering |
| spelling | DeRosa, David F. Verfasser aut Options on foreign exchange David F. DeRosa 2. ed. New York [u.a.] Wiley 2000 XIII, 222 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley series in financial engineering Change à terme Couverture (Finances) Couverture (finances) ram Instruments financiers ram Options (Finances) Options (finances) ram Foreign exchange futures Hedging (Finance) Options (Finance) Währungsoption (DE-588)4210451-8 gnd rswk-swf Währungsoption (DE-588)4210451-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008871111&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | DeRosa, David F. Options on foreign exchange Change à terme Couverture (Finances) Couverture (finances) ram Instruments financiers ram Options (Finances) Options (finances) ram Foreign exchange futures Hedging (Finance) Options (Finance) Währungsoption (DE-588)4210451-8 gnd |
| subject_GND | (DE-588)4210451-8 |
| title | Options on foreign exchange |
| title_auth | Options on foreign exchange |
| title_exact_search | Options on foreign exchange |
| title_full | Options on foreign exchange David F. DeRosa |
| title_fullStr | Options on foreign exchange David F. DeRosa |
| title_full_unstemmed | Options on foreign exchange David F. DeRosa |
| title_short | Options on foreign exchange |
| title_sort | options on foreign exchange |
| topic | Change à terme Couverture (Finances) Couverture (finances) ram Instruments financiers ram Options (Finances) Options (finances) ram Foreign exchange futures Hedging (Finance) Options (Finance) Währungsoption (DE-588)4210451-8 gnd |
| topic_facet | Change à terme Couverture (Finances) Couverture (finances) Instruments financiers Options (Finances) Options (finances) Foreign exchange futures Hedging (Finance) Options (Finance) Währungsoption |
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