This paper derives preference-free pricing formulae for foreign exchange options, which are consistent with a general equilibrium representative agent economy. These risk-neutral valuation relationships (RNVR's) are obtained for the S U jump-diffusion family. Call and put options are particular case
Two-dimensional risk-neutral valuation relationships for the pricing of options
β Scribed by Guenter Franke; James Huang; Richard Stapleton
- Publisher
- Springer US
- Year
- 2006
- Tongue
- English
- Weight
- 353 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1380-6645
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