FOREIGN CURRENCY OPTION PRICING UNDER JUMP DIFFUSION PROCESSES

Jialing Xian (P. R. China)

Received March 8, 2008

References:

[1] O. E. Barndorff-Nielsen and W. Jiang, An initial analysis of some German stock price series, No. 15, CAF, 1998. [2] Tomas Björk, Arbitrage Theory in Continuous Time, Oxford University Press, 1998, pp. 167-181. [3] Rama Cont and Peter Tankov, Financial Modelling with Jump Processes, CRC Press, 2004, pp. 269-279. [4] S. G. Kou, A jump diffusion for option pricing, Management Science 48(8) (2002), 1086-1101. [5] S. G. Kou and Hui Wang, Option pricing under a double exponential jump diffusion model, Working Paper, Columbia University, 2003. [6] Vasanttilak Naik and Moon Lee, General equilibrium pricing of options on the market portfolio with discontinuous returns, The Review of Financial Studies 3 (1990), 493-521.

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