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Option pricing for a stochastic volatility Lévy model with stochastic interest rates

✍ Scribed by Sattayatham, P.; Pinkham, S.

Book ID: 121985002
Publisher: Elsevier
Year: 2013
Tongue: English
Weight: 254 KB
Volume: 42
Category: Article
ISSN: 1226-3192
DOI: 10.1016/j.jkss.2012.04.007

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## 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