Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/82757
題名: | The Valuation of Currency Options with Markov-Modulated Jump Risks | 作者: | 廖四郎 Liao, Szu-Lang;Lian, Yu-Min |
貢獻者: | 金融系 | 日期: | Sep-2013 | 上傳時間: | 21-Mar-2016 | 摘要: | In this paper, we study the valuation of European currency options when the dynamics of the spot foreign exchange rate are driven by geometric Brownian motions with Markov-modulated Poisson processes. Under such dynamics, the jump events are described as a compound Poisson process with log-normal jump size, and the regime-switching arrival intensity is governed by a continuous-time finite-state Markov chain. Since the market is incomplete, we present a framework for option valuation using the technique of Esscher transforms. After determining the Esscher parameters, we derive the analytical pricing formulas of European currency options under Markov-modulated jump risks. | 關聯: | International Research Journal of Finance and Economics, No.114, 93-101 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
index.html | 155 B | HTML2 | View/Open | |
index.html | 348 B | HTML2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.