Colección: ArtículosTítulo: Pricing currency derivatives with Markov-modulated Lévy dynamics / Anatoliy Swishchuk, Maksym Tertychnyi, Robert ElliottAutor: Swishchuk, AnatoliyNotas: Sumario: Using 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/07/2014 Volumen 57 Número 1 - julio 2014 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
