Currency Derivatives Pricing for Markov-Modulated Merton Jump-Diffusion Spot Forex Rate
نویسندگان
چکیده
منابع مشابه
Currency Derivatives Pricing for Markov-Modulated Merton Jump-Diffusion Spot Forex Rate
We derive results similar to Bo et al. (2010), but in the case of dynamics of the FX rate driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform parameters which ensure that the martingale condition for the discounted foreign exchange rate is a martingale for a general Merton jump-diffusion process are derived; usin...
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WEI WANG Ningbo University, Department of Mathematics, Feng Hua Street 818, Ningbo City CHINA [email protected] XIAONAN SU Nanjing Audit University School of Science Yu Shan Street 86, Nanjing City CHINA [email protected] SHAOBO GAN Ningbo University, Department of Mathematics, Feng Hua Street 818, Ningbo City CHINA [email protected] LINYI QIAN East China Normal University School of Financ...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2014
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2014.44024