Foreign currency option pricing under jump diffusion processes

zbMATH Open1153.91575MaRDI QIDQ3601673FDOQ3601673

Authors: Jialing Xian 

Publication date: 11 February 2009

Full work available at URL: http://pphmj.com/abstract/3475.htm

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zbMATH Keywords

jump diffusion modelequilibrium priceforeign currency option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (23)

• Title not available (Why is that?)
• Integro-differential equations for foreign currency option prices in exponential Lévy models
• Equilibrium valuation of currency options under a discontinuous model with co-jumps
• The foreign exchange option pricing of diffusion process with jumps
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Pricing foreign exchange options under intervention by absorption modeling
• Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option
• Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
• On the hedging of options on exploding exchange rates
• The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate
• Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
• Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
• Exchange Options Under Jump-Diffusion Dynamics
• Pricing of foreign currency deposit products linked with exchange rate
• On computing the price of financial instruments in foreign currency
• Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
• Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
• Currency option pricing with Wishart process
• Contingent claims on foreign assets following jump-diffusion processes
• Valuing foreign exchange rate derivatives with a bounded exchange process
• Heterogeneous expectations, currency options and the euro/dollar
• Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity
• A non random walk theory of exchange rate dynamics with applications to option pricing

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