Numerical simulations for the pricing of options in jump diffusion markets
β Scribed by Youssef El-Khatib; Qasem M. Al-Mdallal
- Book ID
- 113423301
- Publisher
- Elsevier
- Year
- 2012
- Tongue
- English
- Weight
- 490 KB
- Volume
- 18
- Category
- Article
- ISSN
- 1319-5166
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π SIMILAR VOLUMES
## 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 jumpβdiffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous tr
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