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Analytical Valuation of American Options on Jump-Diffusion Processes

✍ Scribed by Chandrasekhar Reddy Gukhal

Book ID
108550481
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
147 KB
Volume
11
Category
Article
ISSN
0960-1627

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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 πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 238 KB πŸ‘ 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