## 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
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Pricing perpetual options with stochastic discount interest rates
β Scribed by Xia Zhao; Bo Zhang
- Publisher
- Springer Netherlands
- Year
- 2010
- Tongue
- English
- Weight
- 151 KB
- Volume
- 46
- Category
- Article
- ISSN
- 0033-5177
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