𝔖 Bobbio Scriptorium
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PRICING CURRENCY FUTURES OPTIONS WITH LOGNORMALLY DISTRIBUTED JUMPS

✍ Scribed by Alan L. Tucker; Jeff Madura; John F. Marshall

Book ID
111105625
Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
967 KB
Volume
21
Category
Article
ISSN
0306-686X

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πŸ“œ SIMILAR VOLUMES

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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

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