File Download
Supplementary

Book: Pricing foreign exchange options : incorporating purchasing power parity

TitlePricing foreign exchange options : incorporating purchasing power parity
Authors
Editors
Issue Date1998
PublisherHong Kong : Hong Kong University Press
AbstractThis 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
DescriptionIncludes bibliographical references and index
SubjectForeign exchange options--Prices--Mathematical models
Options (Finance)--Prices--Mathematical models
Foreign exchange--Mathematical models
Persistent Identifierhttp://hdl.handle.net/10722/10340
ISBN
Other Identifiers

 

DC FieldValueLanguage
dc.contributor.authorYeung, David W. Ken_HK
dc.contributor.editorCheung, Tow Michaelen_HK
dc.date.accessioned2006-06-22T09:53:32Z-
dc.date.available2006-06-22T09:53:32Z-
dc.date.issued1998en_HK
dc.identifierhttp://eproxy.lib.hku.hk/login?url=http://lib.hku.hk/cgi-bin/hkupress/title.cgi?isbn=9622094546en_HK
dc.identifier.isbn9622094546en_HK
dc.identifier.otherocm65352760en_HK
dc.identifier.urihttp://hdl.handle.net/10722/10340-
dc.descriptionIncludes bibliographical references and indexen_HK
dc.description.abstractThis 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 marketsen_HK
dc.description.tableofcontentsCh.1 Preamble p1en_HK
dc.description.tableofcontentsReferences p9en_HK
dc.description.tableofcontentsReferences p18en_HK
dc.description.tableofcontentsReferences p23en_HK
dc.description.tableofcontentsReferences p37en_HK
dc.description.tableofcontentsAppendix p40en_HK
dc.description.tableofcontentsReferences p50en_HK
dc.description.tableofcontentsFigures p52en_HK
dc.description.tableofcontentsReferences p66en_HK
dc.description.tableofcontentsAppendix p68en_HK
dc.description.tableofcontentsReferences p80en_HK
dc.description.tableofcontentsAppendix p84en_HK
dc.description.tableofcontentsCh.9 Conclusions p87en_HK
dc.description.tableofcontentsReferences p4en_HK
dc.description.tableofcontentsIndex p90en_HK
dc.description.tableofcontentsCh.2 Definitions and Terminology p6en_HK
dc.description.tableofcontentsCh.3 Technical Glossary p10en_HK
dc.description.tableofcontentsCh.4 Stochastic Assumptions and Option Pricing p19en_HK
dc.description.tableofcontentsCh.5 The Black-Scholes Options Theory p24en_HK
dc.description.tableofcontentsCh.6 Geometric Brownian Motion, "almost Certain Ruin", and Asset Markets Equalibrium in Options Pricing p43en_HK
dc.description.tableofcontentsCh.7 Non Random Walk Effects and a New Stochastic Specification p57en_HK
dc.description.tableofcontentsCh.8 Pricing Foreign Exchange Options Incorporating Purchasing Power Parity p71en_HK
dc.description.tableofcontents2.1 Calls and Puts p6en_HK
dc.description.tableofcontents2.2 Options Trading p7en_HK
dc.description.tableofcontents2.3 Hedging and Speculating With Options p7en_HK
dc.description.tableofcontents2.4 Foreign Currency Options p8en_HK
dc.description.tableofcontents3.1 Introduction p10en_HK
dc.description.tableofcontents3.2 Stochastic Processes p10en_HK
dc.description.tableofcontents3.3 Martingales p12en_HK
dc.description.tableofcontents3.4 Markov Stochastic Processes p12en_HK
dc.description.tableofcontents3.5 Random Walks p13en_HK
dc.description.tableofcontents8.6 Brownian Motion p15en_HK
dc.description.tableofcontents3.7 Geometric Brownian Motion p16en_HK
dc.description.tableofcontents3.8 Formulae From Stochastic Calculus p17en_HK
dc.description.tableofcontents5.1 Introduction p24en_HK
dc.description.tableofcontents5.2 The Geometric Brownian Motion Assumption p24en_HK
dc.description.tableofcontents5.3 The Black-Scholes Option Pricing Formula p25en_HK
dc.description.tableofcontents5.4 Kolmogorov's Backward Equation and the Transition Density Function of the Stock Price p28en_HK
dc.description.tableofcontents5.5 Transition Density For Geometric Brownian Motion p29en_HK
dc.description.tableofcontents5.6 Transition Density and Option Pricing p32en_HK
dc.description.tableofcontents5.7 Static and Dynamic Assumptions in Option Pricing p35en_HK
dc.description.tableofcontents5.8 Conclusions p37en_HK
dc.description.tableofcontents6.1 Introduction p43en_HK
dc.description.tableofcontents6.2 GBM Sample Path and Moments Behavior p44en_HK
dc.description.tableofcontents6.3 Interpreting Asset Markets Equilibrium p46en_HK
dc.description.tableofcontents6.4 Conclusions p50en_HK
dc.description.tableofcontents7.1 Introduction p57en_HK
dc.description.tableofcontents7.2 A New Stochastic Specification p58en_HK
dc.description.tableofcontents7.3 Dynamics of Stack Price and Premium Rate of Return p59en_HK
dc.description.tableofcontents7.4 An Exact Option Pricing Formula p64en_HK
dc.description.tableofcontents7.6 Conclusion p65en_HK
dc.description.tableofcontents8.1 Introduction p71en_HK
dc.description.tableofcontents8.2 Stochastic Dynamics of the Exchange Rate p73en_HK
dc.description.tableofcontents8.3 An Exact Formula to Price Forex Options p78en_HK
dc.description.tableofcontents8.4 How to Use the Exact Formula p79en_HK
dc.description.tableofcontents8.5 Conclusion p80en_HK
dc.format.extent91 p. : ill. ; 25 cmen_HK
dc.format.extent430 bytes-
dc.format.mimetypeapplication/pdfen_HK
dc.format.mimetypetext/html-
dc.languageengen_HK
dc.publisherHong Kong : Hong Kong University Pressen_HK
dc.relation.ispartofDigital Editions from Hong Kong University Pressen_HK
dc.rightsHKU students and staff onlyen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subject.ddc332.45 Y4en_HK
dc.subject.lcshForeign exchange options--Prices--Mathematical modelsen_HK
dc.subject.lcshOptions (Finance)--Prices--Mathematical modelsen_HK
dc.subject.lcshForeign exchange--Mathematical modelsen_HK
dc.titlePricing foreign exchange options : incorporating purchasing power parityen_HK
dc.typeBooken_HK
dc.identifier.hkulb3136085en_HK
dc.description.naturepublished_or_final_versionen_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats