Pricing Options on Foreign Currency with a Preset Exchange Rate
نویسندگان
چکیده
منابع مشابه
Pricing Options on Foreign Currency with a Preset Exchange Rate
This paper presents a new option that can be used by agents for managing foreign exchange risk. Unlike the Garman Kolhagen model [1], (GK), this paper presents a new model with a preset exchange rate (PE), that allows the agent to take advantage of the his/her view on both the direction and magnitude of rate movement and as such provides this agent with more choices. The model has a provision f...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2012
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2012.23024