英文标题：
《Pricing Currency Derivatives with Markov-modulated Levy Dynamics》
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作者：
Anatoliy Swishchuk, Maksym Tertychnyi, Robert Elliott
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最新提交年份：
2014
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英文摘要：
Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson process intensity with respect to to this measure. The formulas for a European call foreign exchange option are also derived. We apply these formulas to the case of the log-double exponential distribution of jumps. We provide numerical simulations for the European call foreign exchange option prices with different parameters.
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中文摘要：
利用Levy过程，我们推广了Bo et al.（2010）中对数正态分布的Esscher变换参数公式，从而确保鞅条件适用于贴现汇率。利用这些参数值，我们找到了一个风险神经度量，并提供了关于该度量的跳跃分布、平均跳跃大小和泊松过程强度的新公式。推导了欧式看涨期权的计算公式。我们将这些公式应用于跳跃的对数双指数分布的情况。我们对不同参数的欧式看涨期权价格进行了数值模拟。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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