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Foreign equity participation under incomplete information

โœ Scribed by Hamid Beladi; Avik Chakrabarti


Book ID
116635389
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
435 KB
Volume
67
Category
Article
ISSN
0167-2681

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This article investigates the valuation of a foreign equity option whose value depends on the exchange rate and foreign equity prices. Assuming that these underlying price processes are correlated and driven by a multidimensional Lรฉvy process, a method suitable for solving the complex valuation prob