This thesis examines the impact of exchange rate risk on asset pricing under varying market structures. To understand this effect, in the first part of the thesis the analytical derivation of an international asset-pricing model within a mean-variance framework is attempted. In the second part,...

This paper describes a method of extracting the risk-neutral probability distribution of future exchange rates from option prices. In foreign exchange markets interbank option pricing conventions make possible reliable inferences about risk-neutral probability distributions with relatively...