On exact pricing of FX options in multivariate time-changed Lévy models

In this paper we discuss foreign-exchange option pricing in conditionally Gaussian models, namely in the variance-gamma and in the normal-inverse Gaussian models. It happens that in the both models closed-form pricing is attainable. The used method developes the one of the work by Madan et al. (Eur...

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Veröffentlicht in:	Review of derivatives research 2016-10, Vol.19 (3), p.201-216
Hauptverfasser:	Ivanov, Roman V., Ano, Katsunori
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Economic models Economic theory Economics and Finance Finance Foreign exchange markets Fourier transforms Investments and Securities Securities prices Studies
Online-Zugang:	Volltext
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