𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Foreign exchange option pricing in the currency cycle with jump risks

✍ Scribed by Lin, Chien-Hsiu; Lin, Shih-Kuei; Wu, An-Chi

Book ID
121578573
Publisher
Springer US
Year
2014
Tongue
English
Weight
916 KB
Volume
44
Category
Article
ISSN
0924-865X

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The pricing of foreign currency options
The pricing of foreign currency options under jump-diffusion processes
✍ Chang Mo Ahn; D. Chinhyung Cho; Keehwan Park πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 238 KB πŸ‘ 1 views

## 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

Pricing American options on foreign curr
Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates
✍ 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