Foreign Currency Option Pricing Under Jump Diffusion Processes

Posted on:2006-09-19

Degree:Master

Type:Thesis

Country:China

Candidate:J L Xian

Full Text:PDF

GTID:2166360155464202

Subject:Basic mathematics

Abstract/Summary:

We study the pricing formula for foreign currency option when the log prices follow a jump diffusion process. And in the case of double exponential model, we have obtained the close formula.

Keywords/Search Tags:

Jump Diffusion Model, Equilibrium Price, Foreign Currency Option Pricing

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