Currency option pricing: Mean reversion
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Hoi Ying Wong; Jing Zhao
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Article
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2010
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John Wiley and Sons
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English
β 175 KB
## Abstract This paper investigates the valuation of currency options when the underlying currency follows a meanβreverting lognormal process with multiβscale stochastic volatility. A closedβform solution is derived for the characteristic function of the logβasset price. European options are then v