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On pricing of corporate securities in the case of jump-diffusion

✍ Scribed by Ren, Xue-min; Jiang, Li-shang


Book ID
125374886
Publisher
SP Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
Year
2014
Tongue
English
Weight
695 KB
Volume
29
Category
Article
ISSN
1005-1031

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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