Stochastic interest rates, transaction costs, and immunizing foreign currency risk

Pricing American options on foreign curr

Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates

✍ Jia-Hau Guo; Mao-Wei Hung 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 294 KB 👁 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