Currency Options and Exchange Rate Economics

10.1142/3061 ◽  
1998 ◽  
Author(s):  
Zhaohui Chen
Keyword(s):  
Exchange Rate ◽  
Currency Options ◽  
Exchange Rate Economics

Pricing currency options in the Heston/CIR double exponential jump-diffusion model

2017 ◽  
Vol 04 (01) ◽  
pp. 1750013 ◽  
Author(s):  
Rehez Ahlip ◽  
Laurence A. F. Park ◽  
Ante Prodan
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Analytical Formula ◽  
Jump Diffusion ◽  
Stochastic Volatility Model ◽  
Currency Options ◽  
Volatility Model ◽  
Double Exponential ◽  
Jump Diffusion Model ◽  
The Exchange Rate

We examine currency options in the double exponential jump-diffusion version of the Heston stochastic volatility model for the exchange rate. We assume, in addition, that the domestic and foreign stochastic interest rates are governed by the CIR dynamics. The instantaneous volatility is correlated with the dynamics of the exchange rate return, whereas the domestic and foreign short-term rates are assumed to be independent of the dynamics of the exchange rate and its volatility. The main result furnishes a semi-analytical formula for the price of the European currency call option in the hybrid foreign exchange/interest rates model.

Exchange-rate economics in transition countries

2005 ◽  
Vol 29 (2) ◽  
pp. 123-129 ◽  
Author(s):  
Balázs Égert ◽  
Ali M. Kutan
Keyword(s):  
Exchange Rate ◽  
Transition Countries ◽  
Exchange Rate Economics

Exchange Rate Economics: 1986

1987 ◽  
Vol 97 (385) ◽  
pp. 1 ◽  
Author(s):  
Rudiger Dornbusch
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Economics

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.

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