This chapter examines a model which incorporates not only the usual domestic equity market, but also a market for the exchange rate between the domestic currency and a fixed foreign currency, as well as a foreign currency market. Financial derivatives defined in such situations are commonly known as quanto products. It begins with a study of derivatives written directly on the exchange rate X, and then proceeds with the study of pricing (in domestic currency) contracts written on foreign equity. Practice exercises are included.
Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.
If you think you should have access to this title, please contact your librarian.