## 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
β¦ LIBER β¦
PRICING OF FOREIGN CURRENCY OPTIONS FOR ARBITRARY STOCHASTIC PROCESSES
β Scribed by Kuldeep Shastri; Kulpatra Wethyavivorn
- Book ID
- 111105406
- Publisher
- John Wiley and Sons
- Year
- 1990
- Tongue
- English
- Weight
- 522 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0306-686X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The pricing of foreign currency options
β
Chang Mo Ahn; D. Chinhyung Cho; Keehwan Park
π
Article
π
2007
π
John Wiley and Sons
π
English
β 238 KB
π 1 views
Pricing American options on foreign curr
β
Jia-Hau Guo; Mao-Wei Hung
π
Article
π
2007
π
John Wiley and Sons
π
English
β 294 KB
π 1 views
## 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
An alternative formulation on the pricin
β
Raymond Chiang; John Okunev
π
Article
π
1993
π
John Wiley and Sons
π
English
β 261 KB
π 1 views
The valuation of foreign currency option
β
S. Choi; M.D. Marcozzi
π
Article
π
2003
π
Elsevier Science
π
English
β 595 KB
On the pricing of European and American
β
Paul D. Adams; Steve B. Wyatt
π
Article
π
1989
π
Elsevier Science
π
English
β 370 KB
Computational aspects of pricing foreign
β
Rehez Ahlip; Rik King
π
Article
π
2010
π
Elsevier Science
π
English
β 210 KB