On exact pricing of FX options in multivariate time-changed Lévy models

Roman V. Ivanov, Katsunori Ano

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)


In this paper we discuss foreign-exchange option pricing in conditionally Gaussian models, namely in the variance-gamma and in the normal-inverse Gaussian models. It happens that in the both models closed-form pricing is attainable. The used method developes the one of the work by Madan et al. (Eur Finance Rev 2:79–105, 1998) where the price of the European call is primarily derived. The obtained formulas are based on values of the Gauss and the Appell hypergeometric functions.

Original languageEnglish
Pages (from-to)201-216
Number of pages16
JournalReview of Derivatives Research
Issue number3
Publication statusPublished - 2016 Oct 1


  • Foreign-exchange option
  • Hypergeometric function
  • Normal-inverse Gaussian process
  • Pricing
  • Time-changed Lévy process
  • Variance-gamma process

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance (miscellaneous)


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