|
||||
|
||||
Foreign Exchange Derivatives
Srdjan D. Stojanovic University of Cincinnati June 5, 2007 Abstract: 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.
Keywords: Foreign exchange, SDE, PDE, derivative pricing and hedging, portfolio optimization, risk aversion JEL Classifications: F31, G13, D52 Working Paper SeriesDate posted: September 11, 2007 ; Last revised: September 11, 2007Suggested CitationContact Information
|
|
|||||||||||||
© 2009 Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use Privacy Policy
This page was served by apollo2 in 0.109 seconds.