Ahn, Chang Mo; Cho, D. Chinhyung; Park, Keehwan - In: Journal of Futures Markets 27 (2007) 7, pp. 669-695
In this article, the authors derive explicit formulas for European foreign exchange (FX) call and put option values when the exchange rate dynamics are governed by jump‐diffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous trading...