ecent theoretical research has developed two valuation models for pricing R options on foreign currency-a European version and a more complex American variant. The purpose of this article is to compare the pricing behavior of the two models. Our simulations show that the European model performs well
On the pricing of European and American foreign currency options: a clarification
β Scribed by Paul D. Adams; Steve B. Wyatt
- Book ID
- 116116483
- Publisher
- Elsevier Science
- Year
- 1989
- Tongue
- English
- Weight
- 370 KB
- Volume
- 8
- Category
- Article
- ISSN
- 0261-5606
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract By applying the HeathβJarrowβMorton (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
## 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
ecent theoretical research has developed two valuation models for pricing R options on futures contracts-a European version, and a more complex American variant. The purpose of this article is to compare the pricing behavior of the two models and develop some implications for the use of European mod