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英文标题：
《Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion
Spot Forex Rate》
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作者：
Anatoliy Swishchuk, Maksym Tertychnyi, Winsor Hoang
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最新提交年份：
2014
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英文摘要：
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 are as follows: 1) formulas for the Esscher transform parameters which ensure that the martingale condition for the discounted foreign exchange rate is a martingale for a general Merton jump--diffusion process are derived; using the values of these parameters we proceeded to 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 the measure; pricing formulas for European call foreign exchange options have been given as well; 2) obtained formulas are applied to the case of the exponential processes; 3) numerical simulations of European call foreign exchange option prices for different parameters are also provided; 4) codes for Matlab functions used in numerical simulations of option prices are given.
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中文摘要：
我们得出了类似于Bo等人（2010）的结果，但在汇率动态由一般默顿跳扩散过程驱动的情况下。本文的主要结果如下：1）导出了保证贴现汇率的鞅条件是一般Merton跳扩散过程鞅的Esscher变换参数公式；利用这些参数的值，我们进行了风险神经度量，并提供了跳跃分布、平均跳跃大小和与度量有关的泊松过程强度的新公式；给出了欧式看涨外汇期权的定价公式；2） 将所得公式应用于指数过程的情形；3） 对不同参数下的欧式看涨外汇期权价格进行了数值模拟；4） 给出了用于期权价格数值模拟的Matlab函数代码。
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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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