Currency options and exchange rate economics / editor, Zhaohui Chen
Digitised Book 3.148.231.77 (0)
1998
Information About
The primary objective of this book is to bridge the gap between the traditional macroeconomic literature on exchange rate economics and the currency option pricing literature. This gap exists both as a result of the division of labour between the two strands of literature, and as a result of the practice in graduate training. This text collects recent research work in this area by academics, some of whom also possess valuable knowledge of the working of currency option markets and official operations.
Additional Details
- Subject
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- Options (Finance)
- Foreign exchange rates
- Publisher
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- World Scientific, 1998
- National Library Board Singapore, 1998
- Contributors
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- Chen, Zhaohui
- Digital Description
- application/pdf, ill.
- Table of Contents
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- an overview. 2. An introduction to option pricing theory. 3. An Introduction to Currency Option Markets -- pt. II. Applications. 4. The implied volatility in prices of foreign currency options. 5. Learning from the term structure of implied volatility in foreign exchange options. 6. Options and the currency risk premium. 7. Option prices and the probability distribution of exchange rates. 8. The ERM realignment probabilities: Estimates using option prices. 9. Options on exchange rates in target zones. 10. Inferring market expectations using currency option price and volume data -- References -- Glossary of terms.
- Copyright
- All Rights Reserved. National Library Board Singapore 2009.