Pricing currency derivatives with Markov-modulated Lévy dynamics

MARC record
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001  MAP20140029068
003  MAP
005  20140826121631.0
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1001 ‎$0‎MAPA20140013418‎$a‎Swishchuk, Anatoliy
24510‎$a‎Pricing currency derivatives with Markov-modulated Lévy dynamics‎$c‎Anatoliy Swishchuk, Maksym Tertychnyi, Robert Elliott
520  ‎$a‎Using a Lévy process we generalize formulas in Bo et al. (2010) for the Esscher transform parameters for the log-normal distribution which ensure that the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson process intensity with respect to this measure. The formulas for a European call foreign exchange option are also derived. We apply these formulas to the case of the log-double exponential distribution of jumps. We provide numerical simulations for the European call foreign exchange option prices with different parameters.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎07/07/2014 Volumen 57 Número 1 - julio 2014
856  ‎$y‎MÁS INFORMACIÓN‎$u‎