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Download Pricing Foreign Exchange Options: Incorporating Purchasing by Michael Towcheung, David, Ph.D. Yeung PDF

By Michael Towcheung, David, Ph.D. Yeung

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Basic Stochastic Processes: the Mark Kac Lectures, New York: Macmillan. C. (1989). Options, in J. Eatwell, M. K. , The New Palgrave Finance, New York: Norton, 1989. P. (1965). A. Samuelson, Rational Theory of Warrant Pricing, Industrial Management Review, 6, 1965, 13-31. C. A. 3, Cambridge MA: MIT Press 1972. 38 The Black-Scholes Options Theory Modigliani, F. H. Miller (1958). The Cost of Capital, Corporation Finance, and the Theory of Investment, American Economic Review, 48, 261-297. A. (1965).

A. (1991). C. D. W. :MIT Press, 1991. J. (1989). : MIT Press. W. (1976). Options Pricing: A Review, Journal of Financial Economics, 3, 3-51. T. (1973). Random Differential Equations in Science and Engineering, New York: Academic Press. 51 Pricing Foreign Exchange Options s0+(a-<^/2)t I 1 Fig. 1a Typical sample paths of the stochastic process s(t). Here cr3 > a2 > 0, a -

The co-existence of these two stocks is at odds with efficient asset markets behavior, for why should individuals with rational expectations be 46 Geometric Brownian Motion willing to pay the same price for them? Such observations suggest that the risk neutral interpretation of equilibrium, which is widely used in option theory, is not completely free from difficulties. Generally, stocks traded in the asset markets may have different cr's. 11) alone is assumed to hold, over time typical sample points for the prices of these stocks would become dispersed around increasing divergent growth paths.

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