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Monetary approach to inflation: A medium-term structural model in a small open economy (the case of the Czech Republic in 1996-2004)

Arlt, Josef; Kodera, Jan; Mandel, Martin; Tomšík, … - In: Politická ekonomie 2006 (2006) 3

The paper analyses a relationship between monetary aggregate M2 and inflation in a small open economy. The relationship … between monetary expansion and inflation as well as a dynamic of income velocity of money framework in a small open economy … money and tradables inflation in the case of the Czech small open economy is not found. The conclusions presented in the …

Persistent link: https://www.econbiz.de/10005036707

Capital Management and Leverage of Foreign Bank Subsidiaries in a Host Country: A Case in Hong Kong

Ho, Kelvin; Hui, Cho-Hoi; Li, Ka-Fai; Wong, Jim - Hong Kong Institute for Monetary Research (HKIMR), … - 2015

The large presence of global banks in Hong Kong offers a well suited empirical setting to study the capital management of foreign bank subsidiaries from a host country perspective. Specifically, this paper uses the trade-off theory of leverage to investigate whether the leverage dynamics of...

Persistent link: https://www.econbiz.de/10011161048

Double Barrier Hitting Time Distribution of a Mean-Reverting Lognormal Process and its Application to Pricing Exotic Options

Lo, Chi-Fai - 2008

In this paper we propose a simple and easy-to-use method for computing accurate estimate (in closed form) of the double barrier hitting time distribution of a mean-reverting lognormal process, and discuss its application to pricing exotic options whose payoffs are contingent upon barrier hitting...

Persistent link: https://www.econbiz.de/10012725796

One-Touch Double Barrier Binary Option Values

Hui, Cho-Hoi - 2007

The valuation and applications of one-touch double barrier binary options that include features of knock-out, knock-in, European and American style are described. Using a conventional Black-Scholes option-pricing environment, analytical solutions of the options are derived. The relationships...

Persistent link: https://www.econbiz.de/10012777003

Valuation of Financial Derivatives with Time-Dependent Parameters : Lie-Algebraic Approach

Lo, Chi-Fai - 2007

Based upon the Wei-Norman theorem, this paper presents a Lie-algebraic technique for the pricing of financial derivatives with time-dependent parameters. By exploiting the dynamical symmetry of the pricing partialdifferential equations of the financial derivatives, the new method enables us to...

Persistent link: https://www.econbiz.de/10012777018

Pricing Barrier Options With Square Root Process

Lo, Chi-Fai - 2007

The square root constant elasticity of variance (CEV) process has been paid little attention in previous research on valuation of barrier options. In this paper we derive analytical option pricing formulae of up-and-out options with this process using the eigenfunction expansion technique. We...

Persistent link: https://www.econbiz.de/10012777033

Constant Elasticity of Variance Option Pricing Model With Time-Dependent Parameters

Lo, Chi-Fai - 2007

This paper provides a method for pricing options in the constant elasticity of variance (CEV) model environment using the Lie-algebraic technique when the model parameters are time-dependent. Analytical solutions for the option values incorporating time-dependent model parameters are obtained in...

Persistent link: https://www.econbiz.de/10012777034

A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters

Lo, Chi-Fai - 2007

In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option...

Persistent link: https://www.econbiz.de/10012777036

Currency Barrier Option Pricing With Mean Reversion

Hui, Cho-Hoi - 2007

This paper develops a barrier-option pricing model in which the exchange rate follows a mean-reverting lognormal process. The corresponding closed-form solutions for the barrier options with time-dependent barriers are derived. The numerical results show that barrier option values and the...

Persistent link: https://www.econbiz.de/10012777063

A Note on Estimating Realignment Probabilities - A First-Passage-Time Approach

Hui, Cho-Hoi - 2009

This paper proposes a path-dependent approach for estimating realignment probabilities of targeted exchange rates based on first-passage-time distributions instead of the commonly used path-independent approach. We consider that path dependency is an intrinsic characteristic of realignment risk...

Persistent link: https://www.econbiz.de/10012766397