Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign-currency options
The aim of this study is to find a suitable approach to model econometrically exchange-rate dynamics. In the first chapter, I examine the empirical properties of four exchange rates. The data used are daily, weekly, monthly and quarterly exchange rates of the German mark, the British pound, the Swis...
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London School of Economics and Political Science (University of London)
1995
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.307175 |