کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076628 1477218 2014 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing currency derivatives with Markov-modulated Lévy dynamics
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Pricing currency derivatives with Markov-modulated Lévy dynamics
چکیده انگلیسی
Using a Lévy process we generalize formulas in Bo et al. (2010) for the Esscher transform parameters for the log-normal distribution which ensure that the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson process intensity with respect to this measure. The formulas for a European call foreign exchange option are also derived. We apply these formulas to the case of the log-double exponential distribution of jumps. We provide numerical simulations for the European call foreign exchange option prices with different parameters.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 57, July 2014, Pages 67-76
نویسندگان
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