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:

PDF Full Text Request

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

PDF Full Text Request

Related items

1	Option Pricing Method & Application Driven By Asymmetric Jump Diffusion Process
2	Jump - Diffusion Process Option Pricing Model
3	Research On Option Pricing Model Of Stock Price
4	Jump - Diffusion Model Under Uncertain Equity Pricing Issues
5	Analysis Of Mathematical Model About The Pricing Of Foreign Currency Option
6	Option Pricing Modol When Stock Pricing Process Is A Jump-Diffusion Process
7	Study Of Portfolio And Pricing Problems With Jump-Diffusion Processes
8	Critical Analysis Of American Option In Jump-Diffusion Model
9	Foreign Exchange Option Pricing Empirical Studies In The Chinese Market
10	Option Pricing Related Issues Discussed