Exercise 15.3.11 The formulas of Cf and Pf suggest that a foreign equity option is equivalent to
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Exercise 15.3.11 The formulas of Cf and Pf suggest that a foreign equity option is equivalent to S domestic options on a stock paying a continuous dividend yield of qf and a strike price of Xfe(r−rf) τ . Verify that this observation is indeed valid.
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Related Book For
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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