General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility

2010 ◽  
Author(s):  
Du Du
Keyword(s):  
General Equilibrium ◽  
Recursive Utility ◽  
Currency Options ◽  
Equilibrium Pricing

Equilibrium pricing of currency options under a discontinuous model in a two-country economy

2015 ◽  
Vol 0 (0) ◽  
Author(s):  
Yu Xing ◽  
Xiaoping Yang
Keyword(s):  
Foreign Exchange ◽  
Currency Options ◽  
Equilibrium Pricing ◽  
Discontinuous Model

Abstract(Bakshi, G., and Z. Chen. 1997. “Equilibrium Valuation of Foreign Exchange Claims.”

General equilibrium pricing of CPI derivatives

2005 ◽  
Vol 29 (5) ◽  
pp. 1265-1294 ◽  
Author(s):  
Abraham Lioui ◽  
Patrice Poncet
Keyword(s):  
General Equilibrium ◽  
Equilibrium Pricing

General equilibrium pricing of nonredundant forward contracts

2003 ◽  
Vol 23 (9) ◽  
pp. 817-840 ◽  
Author(s):  
Abraham Lioui ◽  
Patrice Poncet
Keyword(s):  
General Equilibrium ◽  
Forward Contracts ◽  
Equilibrium Pricing
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