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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/82757


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    題名: The Valuation of Currency Options with Markov-Modulated Jump Risks
    作者: 廖四郎
    Liao, Szu-Lang;Lian, Yu-Min
    貢獻者: 金融系
    日期: 2013-09
    上傳時間: 2016-03-21 15:46:41 (UTC+8)
    摘要: In this paper, we study the valuation of European currency options when the dynamics of the spot foreign exchange rate are driven by geometric Brownian motions with Markov-modulated Poisson processes. Under such dynamics, the jump events are described as a compound Poisson process with log-normal jump size, and the regime-switching arrival intensity is governed by a continuous-time finite-state Markov chain. Since the market is incomplete, we present a framework for option valuation using the technique of Esscher transforms. After determining the Esscher parameters, we derive the analytical pricing formulas of European currency options under Markov-modulated jump risks.
    關聯: International Research Journal of Finance and Economics, No.114, 93-101
    資料類型: article
    顯示於類別:[金融學系] 期刊論文

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