Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign currency options

Modelling exchange rates in continuous time Estimation and option pricing

Perraudin, W.
Soerensen, B
London Univ. (United Kingdom). Institute for Financial Research

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.164(LU-IFR-WP--10) / BLDSC - Bri...

Exchange rate bands and realignments in a stationary stochastic setting

Miller, M.
Weller, P
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1988

SIGLEAvailable from British Library Document Supply Centre- DSC:9261.96(317) / BLDSC - British Libra...

Pricing foreign exchange options : incorporating purchasing power parity

Yeung, David W. K

January 1998

Includes bibliographical references and indexThis book develops a new and interesting approach to th...

Multiple solutions and bubbles in stochastic models of the exchange rate

Sutherland, A
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1990

SIGLEAvailable from British Library Document Supply Centre- DSC:9261.96(348) / BLDSC - British Libra...

Exchange rate dynamics under stochastic regime shifts A unified approach

Froot, K.A.
Obstfeld, M
Centre for Economic Policy Research, London (United Kingdom)

January 1991

3.00Available from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--522) / BLDSC - Bri...

Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates

Xiao Wang

January 2019

Suppose that the interest rates obey stochastic differential equations, while the exchange rate foll...

Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

Ahlip, Rehez (R7177)
Rutkowski, Marek

January 2013

Foreign exchange options are studied in the Heston stochastic volatility model for the exchange rate...

Pricing currency options in the Heston/CIR double exponential jump-diffusion model

Ahlip, Rehez (R7177)
Park, Laurence A. (R15181)
Prodan, Ante (R16550)

January 2016

We examine currency options in the double exponential jump-diffusion version of the Heston stochasti...

Dynamics of exchange rates and pricing of currency derivatives

Christensen, Jens Christian Jore

January 2013

The main objective of this thesis has been to develop an analysis of the dynamics of exchange rates ...

Exchange rate target zones and regime switches in a stochastic environment

Sutherland, A.J.

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN015206 / BLDSC - British Library D...

Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options

Kaehler, Juergen
Marnet, Volker

January 1993

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Exchange rate dynamics and financial market integration

Sutherland, A
Centre for Economic Policy Research, London (United Kingdom)

January 1996

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--1337) / BLDSC - B...

Exchange rate economic exposure and hedging The significance of currency options

Kanas, A

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:DX174787 / BLDSC - British Library D...

Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign-currency options.

Kaehler, Juergen

January 1995

The aim of this study is to find a suitable approach to model econometrically exchange-rate dynamics...

Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model

Ahlip, Rehez (R7177)
Rutkowski, Marek

January 2015

We examine currency options in the jump-diffusion version of the Heston stochastic volatility model ...

Modelling exchange rates in continuous time Estimation and option pricing

Perraudin, W.
Soerensen, B
London Univ. (United Kingdom). Institute for Financial Research

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.164(LU-IFR-WP--10) / BLDSC - Bri...

Exchange rate bands and realignments in a stationary stochastic setting

Miller, M.
Weller, P
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1988

SIGLEAvailable from British Library Document Supply Centre- DSC:9261.96(317) / BLDSC - British Libra...

Pricing foreign exchange options : incorporating purchasing power parity

Yeung, David W. K

January 1998

Includes bibliographical references and indexThis book develops a new and interesting approach to th...

Multiple solutions and bubbles in stochastic models of the exchange rate

Sutherland, A
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1990

SIGLEAvailable from British Library Document Supply Centre- DSC:9261.96(348) / BLDSC - British Libra...

Exchange rate dynamics under stochastic regime shifts A unified approach

Froot, K.A.
Obstfeld, M
Centre for Economic Policy Research, London (United Kingdom)

January 1991

3.00Available from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--522) / BLDSC - Bri...

Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates

Xiao Wang

January 2019

Suppose that the interest rates obey stochastic differential equations, while the exchange rate foll...

Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

Ahlip, Rehez (R7177)
Rutkowski, Marek

January 2013

Foreign exchange options are studied in the Heston stochastic volatility model for the exchange rate...

Pricing currency options in the Heston/CIR double exponential jump-diffusion model

Ahlip, Rehez (R7177)
Park, Laurence A. (R15181)
Prodan, Ante (R16550)

January 2016

We examine currency options in the double exponential jump-diffusion version of the Heston stochasti...

Dynamics of exchange rates and pricing of currency derivatives

Christensen, Jens Christian Jore

January 2013

The main objective of this thesis has been to develop an analysis of the dynamics of exchange rates ...

Exchange rate target zones and regime switches in a stochastic environment

Sutherland, A.J.

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN015206 / BLDSC - British Library D...

Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options

Kaehler, Juergen
Marnet, Volker

January 1993

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Exchange rate dynamics and financial market integration

Sutherland, A
Centre for Economic Policy Research, London (United Kingdom)

January 1996

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--1337) / BLDSC - B...

Exchange rate economic exposure and hedging The significance of currency options

Kanas, A

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:DX174787 / BLDSC - British Library D...

Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign-currency options.

Kaehler, Juergen

January 1995

The aim of this study is to find a suitable approach to model econometrically exchange-rate dynamics...

Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model

Ahlip, Rehez (R7177)
Rutkowski, Marek

January 2015

We examine currency options in the jump-diffusion version of the Heston stochastic volatility model ...

Modelling exchange rates in continuous time Estimation and option pricing

Perraudin, W.
Soerensen, B
London Univ. (United Kingdom). Institute for Financial Research

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.164(LU-IFR-WP--10) / BLDSC - Bri...

Exchange rate bands and realignments in a stationary stochastic setting

Miller, M.
Weller, P
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1988

SIGLEAvailable from British Library Document Supply Centre- DSC:9261.96(317) / BLDSC - British Libra...

Pricing foreign exchange options : incorporating purchasing power parity

Yeung, David W. K

January 1998

Includes bibliographical references and indexThis book develops a new and interesting approach to th...

Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign currency options

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Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign currency options

Abstract

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