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Asset Pricing with Stochastic Volatility

✍ Scribed by G. Kallianpur; J. Xiong


Publisher
Springer
Year
2001
Tongue
English
Weight
106 KB
Volume
43
Category
Article
ISSN
0095-4616

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## Abstract By applying the Heath–Jarrow–Morton (HJM) framework, an analytical approximation for pricing American options on foreign currency under stochastic volatility and double jump is derived. This approximation is also applied to other existing models for the purpose of comparison. There is e