Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility

DOI10.1016/J.CAM.2014.12.003MaRDI QIDQ484871zbMATH OpenOpenAlexFDO

Authors Yu Xing, Xiao-Ping Yang

Publication date 8 January 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2014.12.003

zbMATH Keywords

currency optionequilibrium valuationintegro-differential equationjump-diffusion model with stochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• Currency prices, the nominal exchange rate, and security prices in a two-country dynamic monetary equilibrium
• Equilibrium asset prices and exchange rates
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• Power Variation and Time Change
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods

Cited in

(12)

• Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps
• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• Equilibrium pricing of currency options under a discontinuous model in a two-country economy
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Rare shock, two-factor stochastic volatility and currency option pricing
• Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
• Equilibrium valuation of currency options under a discontinuous model with co-jumps
• Time series represented by means of fuzzy piecewise lineal segments
• Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity
• Stochastic differential equations with diffusion and jumps modeling currency markets

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