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Multiple Currency Option Selection Using Stochastic Constraints
either moves up to S,,t+l -- S, tui with probability p, or moves down to Si,t+l = S, td~ with probability ... f~ (2) e ('-'~Dat -d l p, = (3) u~ - di where r: U. S. interest rate. r,1: Foreign interest ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments