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The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees positive asset prices. In this paper it...
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currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims … valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign …
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