## Abstract In this article, the authors derive explicit formulas for European foreign exchange (FX) call and put option values when the exchange rate dynamics are governed by jumpβdiffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous tr
An alternative formulation on the pricing of foreign currency options
β Scribed by Raymond Chiang; John Okunev
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 261 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0270-7314
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