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An equilibrium approach to pricing foreign currency options

✍ Scribed by Carsten Sørensen

Book ID
108559537
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
389 KB
Volume
3
Category
Article
ISSN
1354-7798

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The pricing of foreign currency options
The pricing of foreign currency options under jump-diffusion processes
✍ Chang Mo Ahn; D. Chinhyung Cho; Keehwan Park 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 238 KB 👁 1 views

## 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 jump‐diffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous tr