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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| 1. Verfasser: | |
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| Weitere Verfasser: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hong Kong :
Hong Kong University Press,
1998.
|
| Ausgabe: | 2nd ed. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (91 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789882202535 9882202535 9789622094543 9622094546 1282703870 9781282703872 9786612703874 6612703873 |
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| 250 | |a 2nd ed. | ||
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| 505 | 0 | |a 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. | |
| 520 | |a 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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| adam_text | |
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| author | Yeung, David |
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| contents | 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. |
| ctrlnum | (OCoLC)651026496 |
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| discipline | Wirtschaftswissenschaften |
| edition | 2nd ed. |
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| indexdate | 2024-11-27T13:17:24Z |
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| spelling | Yeung, David. http://id.loc.gov/authorities/names/n85059131 Pricing foreign exchange options : incorporating purchasing power parity / David W.K. Yeung, Michael Tow Cheung. 2nd ed. Hong Kong : Hong Kong University Press, 1998. 1 online resource (91 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references and index. Print version record. 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. 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. English. Foreign exchange Mathematical models. Options (Finance) Prices Mathematical models. Change Modèles mathématiques. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Foreign Exchange. bisacsh BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange Mathematical models fast Options (Finance) Prices Mathematical models fast Cheung, Michael Tow. http://id.loc.gov/authorities/names/no98123088 has work: Pricing foreign exchange options (Text) https://id.oclc.org/worldcat/entity/E39PCFw7xWcHKrtFJmdwdkCD4m https://id.oclc.org/worldcat/ontology/hasWork Digital Editions from Hong Kong University Press. Print version: Yeung, David. Pricing foreign exchange options. 2nd ed. Hong Kong : Hong Kong University Press, 1998 9789622094543 (OCoLC)39269076 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=321939 Volltext |
| spellingShingle | Yeung, David Pricing foreign exchange options : incorporating purchasing power parity / 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. Foreign exchange Mathematical models. Options (Finance) Prices Mathematical models. Change Modèles mathématiques. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Foreign Exchange. bisacsh BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange Mathematical models fast Options (Finance) Prices Mathematical models fast |
| title | Pricing foreign exchange options : incorporating purchasing power parity / |
| title_auth | Pricing foreign exchange options : incorporating purchasing power parity / |
| title_exact_search | Pricing foreign exchange options : incorporating purchasing power parity / |
| title_full | Pricing foreign exchange options : incorporating purchasing power parity / David W.K. Yeung, Michael Tow Cheung. |
| title_fullStr | Pricing foreign exchange options : incorporating purchasing power parity / David W.K. Yeung, Michael Tow Cheung. |
| title_full_unstemmed | Pricing foreign exchange options : incorporating purchasing power parity / David W.K. Yeung, Michael Tow Cheung. |
| title_short | Pricing foreign exchange options : |
| title_sort | pricing foreign exchange options incorporating purchasing power parity |
| title_sub | incorporating purchasing power parity / |
| topic | Foreign exchange Mathematical models. Options (Finance) Prices Mathematical models. Change Modèles mathématiques. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Foreign Exchange. bisacsh BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange Mathematical models fast Options (Finance) Prices Mathematical models fast |
| topic_facet | Foreign exchange Mathematical models. Options (Finance) Prices Mathematical models. Change Modèles mathématiques. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Foreign Exchange. BUSINESS & ECONOMICS Finance. Foreign exchange Mathematical models Options (Finance) Prices Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=321939 |
| work_keys_str_mv | AT yeungdavid pricingforeignexchangeoptionsincorporatingpurchasingpowerparity AT cheungmichaeltow pricingforeignexchangeoptionsincorporatingpurchasingpowerparity |