This paper proposes a pricing method of currency options with a market model of interest rates. Using a simple approximation and a Fourier transform method, we derive a formula of the option pricing under jump-diffusion stochastic volatility processes of spot exchange rates. As an application, we apply the formula to the calibration of volatility smiles in the JPY/USD currency option market. Moreover, using the approximate prices as a control variate, we achieve substantial variance reduction in Monte Carlo simulation.本文フィルはリンク先を参照のこ
This paper develops a Fourier transform method with an asymptotic expansion approach for option pric...
We examine currency options in the jump-diffusion version of the Heston stochastic volatility model ...
Volatility smiles arise in currency option markets when empirical exchange rate returns distribution...
This paper proposes a pricing method of currency options with a market model of interest rates. Usin...
This paper proposes an asymptotic expansion scheme of currency options with a libor market model of ...
This chapter presents a basic of the methodology so-called an asymptotic expansion approach, and app...
This research studies the valuation of spot, forward, and futures options on foreign exchange when t...
AbstractIt has been well-documented that foreign exchange rates exhibit both mean reversion and stoc...
This paper analyzes the nature and pricing implications of jumps in foreign exchange rate processes....
In this article, we provide representations of European and American exchange option prices under st...
We examine currency options in the double exponential jump-diffusion version of the Heston stochasti...
Suppose that the interest rates obey stochastic differential equations, while the exchange rate foll...
AbstractIn this paper, we try to solve the valuation of currency option in financial engineering. We...
This article investigates the valuation of currency options when the dynamic of the spot Foreign Exc...
This paper examines regime switching behavior and the nature of jumps in foreign exchange rates, as ...
This paper develops a Fourier transform method with an asymptotic expansion approach for option pric...
We examine currency options in the jump-diffusion version of the Heston stochastic volatility model ...
Volatility smiles arise in currency option markets when empirical exchange rate returns distribution...
This paper proposes a pricing method of currency options with a market model of interest rates. Usin...
This paper proposes an asymptotic expansion scheme of currency options with a libor market model of ...
This chapter presents a basic of the methodology so-called an asymptotic expansion approach, and app...
This research studies the valuation of spot, forward, and futures options on foreign exchange when t...
AbstractIt has been well-documented that foreign exchange rates exhibit both mean reversion and stoc...
This paper analyzes the nature and pricing implications of jumps in foreign exchange rate processes....
In this article, we provide representations of European and American exchange option prices under st...
We examine currency options in the double exponential jump-diffusion version of the Heston stochasti...
Suppose that the interest rates obey stochastic differential equations, while the exchange rate foll...
AbstractIn this paper, we try to solve the valuation of currency option in financial engineering. We...
This article investigates the valuation of currency options when the dynamic of the spot Foreign Exc...
This paper examines regime switching behavior and the nature of jumps in foreign exchange rates, as ...
This paper develops a Fourier transform method with an asymptotic expansion approach for option pric...
We examine currency options in the jump-diffusion version of the Heston stochastic volatility model ...
Volatility smiles arise in currency option markets when empirical exchange rate returns distribution...
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