Testing a jump-diffusion stochastic interest rates model in currency options markets

2003 ◽  
Author(s):  
A. Doffou ◽  
J.E. Hilliard
Keyword(s):  
Interest Rates ◽  
Jump Diffusion ◽  
Options Markets ◽  
Currency Options ◽  
Stochastic Interest Rates ◽  
Stochastic Interest

scholarly journals Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates

2019 ◽  
Vol 2019 ◽  
pp. 1-10
Author(s):  
Xiao Wang
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Uncertain Differential Equation ◽  
Currency Options ◽  
Stochastic Interest Rates ◽  
European Currency ◽  
Stochastic Interest ◽  
The Relationship ◽  
Pricing Formula

Suppose that the interest rates obey stochastic differential equations, while the exchange rate follows an uncertain differential equation; this paper proposes a new currency model. Under the proposed currency model, the pricing formula of European currency options is then derived. Some numerical examples recorded illustrate the quality of pricing formulas. Meanwhile, this paper analyzes the relationship between the pricing formula and some parameters.

Pricing Option on Jump Diffusion and Stochastic Interest Rates Model

2011 ◽  
Vol 50-51 ◽  
pp. 723-727
Author(s):  
Bo Peng ◽  
Zhi Hui Wu
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Special Kind ◽  
Jump Process ◽  
Jump Diffusion ◽  
Time Interval ◽  
Martingale Method ◽  
Stochastic Interest Rates ◽  
Stochastic Interest ◽  
Jump Diffusion Model

This paper assumed that the stock price jump process for a special kind of renewal jump process, that is incident time interval for independent and subordinate to Gamma distribution random variable sequence. We obtain the European bi-direction option pricing formulas on jump diffusion model under the stochastic interest rates by simply mathematical induce by means of martingale method.

Pricing of Some Exotic Options under Jump Diffusion and Stochastic Interest Rates Model

2011 ◽  
Vol 109 ◽  
pp. 405-409
Author(s):  
Bo Peng
Keyword(s):  
Interest Rates ◽  
Poisson Process ◽  
Stock Price ◽  
Jump Process ◽  
Jump Diffusion ◽  
Martingale Method ◽  
Exotic Options ◽  
Stochastic Interest Rates ◽  
Stochastic Interest ◽  
Risk Neutral

This paper assumes that jump process in underlying assets-stock price is more common than Poisson process and derive the pricing formulas of some exotic options under the stochastic interest rates by martingale method with the risk-neutral hypothesis.

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