Foreign Exchange Option Pricing

2012 ◽  
Keyword(s):  
Option Pricing ◽  
Foreign Exchange ◽  
Exchange Option

Foreign exchange option pricing in the currency cycle with jump risks

2014 ◽  
Vol 44 (4) ◽  
pp. 755-789 ◽  
Author(s):  
Chien-Hsiu Lin ◽  
Shih-Kuei Lin ◽  
An-Chi Wu
Keyword(s):  
Option Pricing ◽  
Foreign Exchange ◽  
Jump Risks ◽  
Exchange Option

The Condition of the Conditionality

2021 ◽  
Author(s):  
Tumellano Sebehela
Keyword(s):  
Probability Theory ◽  
Option Pricing ◽  
Simultaneous Occurrence ◽  
Option Value ◽  
Hedging Strategy ◽  
Compound Options ◽  
Exotic Option ◽  
Exchange Options ◽  
Nikodym Derivative ◽  
Exchange Option

The interdependence of options is common among compound options. Moreover, this interconnectedness is synonymous with probability theory-how a set of axioms are treated. The conditionality, where one option value is dependent on another option, has spilled over to option pricing, especially exchange options. However, it seems that no study has explored whether that simultaneous occurrence of two options is conditional or not. This study uses conditional approaches (Radon–Nikodým derivative and probability theory) to illustrate conditionality in an exchange option. Furthermore, hedging strategy is derived based on straddles. The results show that due to conditionality another exotic option, tri-conditional option (also known as triple option) is derived. The hedging of a triple option encompasses both dynamic and static techniques.

scholarly journals Exchange option pricing under stochastic volatility: a correlation expansion

2009 ◽  
Vol 13 (1) ◽  
pp. 45-73 ◽  
Author(s):  
F. Antonelli ◽  
A. Ramponi ◽  
S. Scarlatti
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Exchange Option

Foreign Exchange Option Symmetry

10.1142/3688 ◽  
1998 ◽  
Author(s):  
Valery A Kholodnyi ◽  
John F Price
Keyword(s):  
Foreign Exchange ◽  
Exchange Option
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