Equilibrium pricing of currency options under a discontinuous model in a two-country economy

DOI10.1515/SNDE-2015-0001OpenAlexW2336449575MaRDI QIDQ2691653

Yu Xing, Xiao-Ping Yang

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0001

zbMATH Keywords

partial integro-differential equationcurrency optionequilibrium pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
• Equilibrium asset prices and exchange rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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