Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps

DOI10.3934/JIMO.2022022OpenAlexW4285270779MaRDI QIDQ2097471

Huawei Niu, Xiaonan Su, Wei Wang, Yu Xing

Publication date: 14 November 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022022

zbMATH Keywords

partial integro-differential equationcurrency optionequilibrium pricingco-jumps

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
• Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
• Equilibrium asset prices and exchange rates
• Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
• Equilibrium approach of asset pricing under Lévy process
• Econometrics of co-jumps in high-frequency data with noise
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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