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The viability property of controlled jump diffusion processes

✍ Scribed by Shi Ge Peng; Xue Hong Zhu

Book ID
106278283
Publisher
Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2008
Tongue
English
Weight
373 KB
Volume
24
Category
Article
ISSN
1439-7617

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## 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 jump‐diffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous tr