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Pricing Options On Risky Assets In A Stochastic Interest Rate Economy

✍ Scribed by Kaushik I. Amin; Robert A. Jarrow


Book ID
111042942
Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
822 KB
Volume
2
Category
Article
ISSN
0960-1627

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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