کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069719 | 1373197 | 2012 | 6 صفحه PDF | دانلود رایگان |

In this paper, we present closed-forms for the valuation of the barrier option whose underlying is exchange rate under the multi-dimensional Levy process, including stochastic interest rates and stochastic assets. Instantaneous forward interest rates are assumed under the Heath et al. [1992. Econometrica 60, 77-105] framework, and the analytic formulas of the exchange rate barrier option are obtained when the Levy process is restricted in a double exponential process.
⺠We price the exchange rate barrier option under the multi-dimensional Levy processes. ⺠We build a general model to fit the leptokurtic feature or jumps in exchange rate. ⺠We build a general model to fit the leptokurtic feature or jumps in interest rates. ⺠The analytic formulas of the exchange rate barrier call are obtained.
Journal: Finance Research Letters - Volume 9, Issue 3, September 2012, Pages 176-181