Heterogeneous expectations, currency options and the euro/dollar

DOI10.1088/1469-7688/2/2/306zbMath1405.91569OpenAlexW2143365367MaRDI QIDQ4646778

Bronka Rzepkowski

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/2/306

zbMATH Keywords

currency optionsheterogeneous expectationsEuro/Dollar exchange rateportfolio reallocations

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates*

Cites Work

• The Pricing of Options and Corporate Liabilities
• Heterogeneity and option pricing

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