𝔖 Bobbio Scriptorium
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Creating and Pricing Hybrid Foreign Currency Options

✍ Scribed by Eric Briys and Michel Crouhy

Book ID
124187102
Publisher
Financial Management Association International (FMA)
Year
1988
Tongue
English
Weight
772 KB
Volume
17
Category
Article
ISSN
0046-3892

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## 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