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Editorial
Sondermann, Dieter - In: Finance and Stochastics 6 (2002) 1, pp. 1-2
Persistent link: https://www.econbiz.de/10005759612
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Editorial
Sondermann, Dieter; Müller, Werner A. - In: Finance and Stochastics 6 (2002) 2, pp. 141-141
Article in PDF format (9 KB)
Persistent link: https://www.econbiz.de/10005184364
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Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
Sandmann, Klaus; Nielsen, J. Aase - In: Finance and Stochastics 6 (2002) 3, pp. 355-370
The aim of the paper is to develop pricing formulas for long term European type Asian options written on the exchange rate in a two currency economy. The exchange rate as well as the foreign and domestic zero coupon bond prices are assumed to follow geometric Brownian motions. <p>The emphasis is...</p>
Persistent link: https://www.econbiz.de/10005390722