A Continuous-Time Model for Valuing Foreign Exchange Options
This paper makes use of stochastic calculus to develop a continuous-time model for valuing European options on foreign exchange (FX) when both domestic and foreign spot rates follow a generalized Wiener process. Using the dollar/euro exchange rate as input for parameter estimation and employing our...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2013/635746 |
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