## 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
The valuation of foreign currency options under stochastic interest rates
β Scribed by S. Choi; M.D. Marcozzi
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 595 KB
- Volume
- 46
- Category
- Article
- ISSN
- 0898-1221
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π SIMILAR VOLUMES
## 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 jumpβdiffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous tr
factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende