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EFFECTS OF STOCHASTIC INTEREST RATES AND VOLATILITY ON CONTINGENT CLAIMS

✍ Scribed by NAOTO KUNITOMO; YONG-JIN KIM


Book ID
111102423
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
282 KB
Volume
58
Category
Article
ISSN
1352-4739

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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