𝔖 Bobbio Scriptorium
✦   LIBER   ✦

PRICING OF FOREIGN CURRENCY OPTIONS FOR ARBITRARY STOCHASTIC PROCESSES

✍ 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.


πŸ“œ SIMILAR VOLUMES


The pricing of foreign currency options
✍ Chang Mo Ahn; D. Chinhyung Cho; Keehwan Park πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 238 KB πŸ‘ 1 views

## 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

Pricing American options on foreign curr
✍ Jia-Hau Guo; Mao-Wei Hung πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 294 KB πŸ‘ 1 views

## 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