Exchange Rate and Expropriation Risk in Multinational Capital Budgeting: A Stochastic Calculus Approach
International Journal of Business Studies, Vol. 3, No. 2
Posted: 23 May 2001
There are 2 versions of this paper
Exchange Rate and Expropriation Risk in Multinational Capital Budgeting: A Stochastic Calculus Approach
Number of pages: 9
Posted: 21 Jun 2001
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Abstract
This paper models political risk in international capital budgeting by utilising stochastic calculus. We assume that expropriation events are Poisson distributed across time and that the exchange rate follows a geometric Brownian motion process. The solution to our model is closed form. Examples are given of its practical implementation.
Note: This is a description of the paper and not the actual abstract.
Keywords: Stochastic Calculus, Geometric Brownian Motion, Poisson, Multinational Capital Budgeting
JEL Classification: F33, G31
Suggested Citation: Suggested Citation
Hooper, Vincent James and Pointon, John, Exchange Rate and Expropriation Risk in Multinational Capital Budgeting: A Stochastic Calculus Approach. International Journal of Business Studies, Vol. 3, No. 2, Available at SSRN: https://ssrn.com/abstract=268587
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