FOREIGN CURRENCY OPTION PRICING UNDER JUMP DIFFUSION PROCESSES

Jialing Xian (P. R. China)

Received March 8, 2008

Abstract

We study the pricing formula for foreign currency option when the spot exchange follows a jump diffusion process and in the case of double exponential model, we have obtained the closed formula.

Keywords and phrases: jump diffusion model, equilibrium price, foreign currency option pricing.