Foundations of foreign exchange option symmetry / Valery A. Kholodnyi, John F. Price
Publication details: U.S.A : IES Press, c1998.Description: xxiii, 160 p. : ill. ; 24 cmISBN:- 0966303202
- 9780966303209
- 22 332.45 KHO
Item type | Current library | Call number | Copy number | Status | Date due | Barcode |
---|---|---|---|---|---|---|
Book Open Access | Engineering Library | 332.45 KHO (Browse shelf(Opens below)) | 1 | Available | BUML23091091 |
CONTENT
1. FOREIGN EXCHANGE OPTION SYMMETRY IN GENERAL MARKET ENVIRONMENT
1. Introduction
2. Notations and results
3. Applications
4. Validity of the symmetry relationships for European options
5. Validity of the symmetry relationships for Bermudan and American options
6. Validity of the symmetry relationships for Barrier options
7. Continuous strike range call and put options
8. Conclusion
2. FOREIGN EXCHANGE OPTION SYMMETRY IN A MULTIPLE CURRENCY GENERAL MARKET ENVIRONMENT
1. Introduction
2. Graph theoretic formalism for a map of the world foreign exchange market
3. Vector bundle formalism for foreign exchange contingent pay offs
4. Particular bases for the vector lattice of all abstract pay offs
5. Foreign exchange abstract options
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