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

Roman V. Ivanov, Katsunori Ano

研究成果: Article

7 引用 (Scopus)

抜粋

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.

元の言語English
ページ(範囲)1-16
ページ数16
ジャーナルReview of Derivatives Research
DOI
出版物ステータスAccepted/In press - 2016 2 11

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance (miscellaneous)

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