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Comparison of Option Prices in Semimartingale Models

✍ Scribed by Jan Bergenthum; Ludger Rüschendorf

Book ID: 106235664
Publisher: Springer-Verlag
Year: 2006
Tongue: English
Weight: 303 KB
Volume: 10
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s00780-006-0001-9

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## Abstract This article implements a currency option pricing model for the general case of stochastic volatility, stochastic interest rates, and jumps in an attempt to reconcile levels of risk‐neutral skewness and kurtosis with observed option prices on the Japanese yen and to analyze the informat