The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate

zbMATH Open1349.91277MaRDI QIDQ2993877FDOQ2993877

Authors: Wenhan Li, Hongyan Sun, Lixia Liu 

Publication date: 10 August 2016

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• scientific article; zbMATH DE number 5260301

zbMATH Keywords

foreign exchangejump-diffusion processrisk-neutralmartingale pricing method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (4)

• Foreign currency option pricing under jump diffusion processes
• The foreign exchange option pricing of diffusion process with jumps
• The foreign-domestic symmetry formula of FX options in stochastic volatility jump-diffusion models
• Optimal portfolio of foreign direct investment with fluctuations of exchange rate under jump-diffusion

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