A non random walk theory of exchange rate dynamics with applications to option pricing

DOI10.1080/07362999408809343zbMath0799.90010OpenAlexW1977863501MaRDI QIDQ4292517

Michael Tow Cheung, David W. K. Yeung

Publication date: 4 July 1994

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999408809343

zbMATH Keywords

international tradeexchange rate dynamics

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Random differential equations in science and engineering
• Exact solution for steady–state probability distribution of a simple stochastic lotka–volterra food chain
• Stochastic Problems in Physics and Astronomy
• On the Theory of the Brownian Motion II
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