## Abstract By applying the HeathβJarrowβMorton (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
β¦ LIBER β¦
Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
β Scribed by Rehez Ahlip; Rik King
- Book ID
- 108193396
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 210 KB
- Volume
- 140
- Category
- Article
- ISSN
- 0378-3758
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factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende