A non random walk theory of exchange rate dynamics with applications to option pricing
作者:
Michael Tow Cheung,
David yeung,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1994)
卷期:
Volume 12,
issue 2
页码: 141-157
ISSN:0736-2994
年代: 1994
DOI:10.1080/07362999408809343
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
A two dimensional stochastic process is developed to model exchange rate dynamics. We incorporate the non random walk influence of pur–chasing power parity, to synthesise the theories of international trade and foreign currency options. Our results, which include a closed form expression for the transition density function of the exchange rate and an exact formula to price currency options, offer a theoretical framework for further study of foreign exchange markets
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