𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Comments on speculation and the volatility of foreign currency exchange rates

✍ Scribed by Robert P. Flood


Book ID
116105269
Publisher
Elsevier Science
Year
1987
Weight
294 KB
Volume
26
Category
Article
ISSN
0167-2231

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πŸ“œ SIMILAR VOLUMES


Pricing American options on foreign curr
✍ Jia-Hau Guo; Mao-Wei Hung πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 294 KB πŸ‘ 1 views

## 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