Abstract
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 language | English |
|---|---|
| Pages (from-to) | 1-16 |
| Number of pages | 16 |
| Journal | Review of Derivatives Research |
| DOIs | |
| Publication status | Accepted/In press - 2016 Feb 11 |
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Keywords
- 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)
Cite this
On exact pricing of FX options in multivariate time-changed Lévy models. / Ivanov, Roman V.; Ano, Katsunori.
In: Review of Derivatives Research, 11.02.2016, p. 1-16.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - On exact pricing of FX options in multivariate time-changed Lévy models
AU - Ivanov, Roman V.
AU - Ano, Katsunori
PY - 2016/2/11
Y1 - 2016/2/11
N2 - 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.
AB - 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.
KW - Foreign-exchange option
KW - Hypergeometric function
KW - Normal-inverse Gaussian process
KW - Pricing
KW - Time-changed Lévy process
KW - Variance-gamma process
UR - http://www.scopus.com/inward/record.url?scp=84957691765&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84957691765&partnerID=8YFLogxK
U2 - 10.1007/s11147-016-9120-4
DO - 10.1007/s11147-016-9120-4
M3 - Article
AN - SCOPUS:84957691765
SP - 1
EP - 16
JO - Review of Derivatives Research
JF - Review of Derivatives Research
SN - 1380-6645
ER -