search query: @author Shastri, K. / total: 12
reference: 5 / 12
| Author: | Shastri, K. Wethyavivorn, K. |
| Title: | Pricing of foreign currency options for arbitrary stochastic processes. |
| Journal: | Journal of Business Finance and Accounting
1990 : SPRING, VOL. 17:2, p. 323-334 |
| Index terms: | OPTIONS FOREIGN EXCHANGE FINANCIAL MODELS |
| Language: | eng |
| Abstract: | An European foreign currency option pricing model is derived for a generalized distribution of exchange rates using an Edgeworth series expansion. Similar to the Taylor series expansion for an analytic function, the expansion approximates the true distribution of exchange rates with a known and more tractable distribution and adjusts for differences between the moments of the true and approximate distributions. The valuation model has the property that the price of an option is a simple function of the moments of the true and approximate distribution. Tests of pricing accuracy indicate that the additional accuracy obtained from the generalized model may not be "worth" the additional complexity. |
SCIMA