collaborators

1 paper

q-fin.CP2014

Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate

Anatoliy Swishchuk, Maksym Tertychnyi, Winsor Hoang

We derived similar to Bo et al. (2010) results but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. The main results of our paper…