Foreign Exchange Derivatives
Srdjan D. Stojanovic
University of Cincinnati
June 5, 2007
We establish general theory of foreign exchange derivatives (FXD), for multidimensional, possibly incomplete, Itô SDE market/econometric models. The established theory is consistent with the one of foreign exchange rates (FXR) introduced by the author in a previous note. A very simple example is presented as well.
Number of Pages in PDF File: 4
Keywords: Foreign exchange, SDE, PDE, derivative pricing and hedging, portfolio optimization, risk aversion
JEL Classification: F31, G13, D52
Date posted: September 11, 2007
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