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Pricing currency derivatives with Markov-modulated Lévy dynamics

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<dc:creator>Swishchuk, Anatoliy</dc:creator>
<dc:description xml:lang="es">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.</dc:description>
<dc:rights xml:lang="es">InC -</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Pricing currency derivatives with Markov-modulated Lévy dynamics</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/07/2014 Volumen 57 Número 1 - julio 2014 </dc:relation>