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Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options

af Christian Pierdzioch

indgår i Kieler Studien - Kiel Studies serien

Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options af Christian Pierdzioch
Bag om Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options

Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540427452
  • Indbinding:
  • Hardback
  • Sideantal:
  • 207
  • Udgivet:
  • 6. december 2001
  • Udgave:
  • 2001
  • Vægt:
  • 500 g.
  • Ukendt - mangler pt..
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Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model.

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