Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
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Publication:484871
DOI10.1016/j.cam.2014.12.003zbMath1307.91182OpenAlexW2051124039MaRDI QIDQ484871
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
integro-differential equationcurrency optionequilibrium valuationjump-diffusion model with stochastic volatility
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Related Items (6)
EQUILIBRIUM VALUATION OF CURRENCY OPTIONS UNDER A DISCONTINUOUS MODEL WITH CO-JUMPS ⋮ Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity ⋮ Equilibrium pricing of currency options under a discontinuous model in a two-country economy ⋮ Time series represented by means of fuzzy piecewise lineal segments ⋮ Efficient option pricing in crisis based on dynamic elasticity of variance model ⋮ Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps
Cites Work
- Equilibrium asset prices and exchange rates
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
- Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Power Variation and Time Change
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