Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes

RehezAhlip; AnteProdan

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Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes

机译：Heston / CIR跳跃扩散模型中具有对数正态和对数均匀跳跃幅度的FX期权定价

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We examine foreign exchange options in the jump-diffusion version of the Heston stochastic volatilitymodel for the exchange rate with log-normal jump amplitudes and the volatility model with log-uniformly distributed jump amplitudes. We assume that the domestic and foreign stochastic interest rates are governed by the CIR dynamics. The instantaneous volatility is correlated with the dynamics of the exchange rate return, whereas the domestic and foreign short-term rates are assumed to be independent of the dynamics of the exchange rate and its volatility. The main result furnishes a semianalytical formula for the price of the foreign exchange European call option.

机译：我们在Heston随机波动率模型的跳跃扩散版本中检查了具有对数正态跳跃幅度的汇率和具有对数均匀分布的跳跃幅度的波动率模型的外汇期权。我们假定国内外随机利率受CIR动态控制。瞬时波动率与汇率回报的动态相关，而假定国内外短期利率与汇率及其波动的动态无关。主要结果为外汇欧洲看涨期权的价格提供了一个半分析公式。

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《International journal of stochastic analysis》 |2015年第1期|共15页
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RehezAhlip; AnteProdan;
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1. Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes [J] . Rehez Ahlip, Ante Prodan International journal of stochastic analysis . 2015,第Null期

机译：具有对数正态和对数均一跳跃幅度的Heston / CIR跳跃扩散模型中的FX期权定价
2. Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility [J] . Kang Jian-hao, Yang Ben-zhang, Huang Nan-jing Physica, A. Statistical mechanics and its applications . 2019,第期

机译：具有近似分数随机波动性的MPT / CIR跳跃扩散模型中FX选项的定价
3. Explicit Solution For Optimal Investment In Heston Model, Multilevel Monte Carlo For Option Valuation, Dynamic Interaction Between Asset Prices And Bank Behavior, Portfolio Optimisation Beyond Semimartingales, G-Supermartingale Systems, Jump-Diffusion Mod [J] . K.N.P. Kumar Advances in Physics Theories and Applications . 2013,第2期

机译：Heston模型中最佳投资的显式解决方案，期权定价的多层蒙特卡洛，资产价格与银行行为之间的动态相互作用，除半mart割之外的投资组合优化，G-Supermartingale系统，跳跃扩散模
4. Option Pricing for a Stochastic-Volatility Jump-Diffusion Model with Log-Uniform Jump-Amplitudes [C] . Guoqing Yan, Floyd B. Hanson, The Institute of Electrical and Electronics EngineersInc. American Control Conference . 2006

机译：具有对数均匀跳高幅度的随机波动率跳转模型的选项定价
5. Option pricing and jump-diffusion models. [D] . Zhu, Zongwu. 2005

机译：期权定价和跳跃扩散模型。
6. An empirical study on asymmetric jump diffusion for option and annuity pricing [O] . Kein Joe Lau, Yong Kheng Goh, An Chow Lai 2015

机译：期权和年金定价的非对称跳跃扩散的实证研究
7. Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes [O] . Rehez Ahlip, Ante Prodan 2015

机译：定价FX选项在HESTON / CIR跳跃 - 扩散模型中，具有逻辑正常和日志均匀跳高幅度

Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes

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