Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
Author:
Funder
Research Funds for the Central Universities
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference32 articles.
1. Foreign currency option values;Garman;J. Int. Money Finance,1983
2. Valuation of foreign currency options: some empirical tests;Shastri;J. Finan. Quant. Anal.,1986
3. Tests of an American option pricing model on the foreign exchange market;Bodurtha;J. Finan. Quant. Anal.,1987
4. The pricing of call and put options on foreign exchange;Grabbe;J. Int. Money Finance,1983
5. Pricing foreign currency options under stochastic interest rates;Amin;J. Int. Money Finance,1991
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