{"title":"SU跳跃-扩散家族的外汇风险中性估值关系","authors":"Ana Câmara, António Câmara, Ivilina Popova, Betty Jo Simkins","doi":"10.1002/ijfe.433","DOIUrl":null,"url":null,"abstract":"<p>This paper derives preference-free pricing formulae for foreign exchange options, which are consistent with a general equilibrium representative agent economy. These risk-neutral valuation relationships (RNVR's) are obtained for the <i>S</i><sub><i>U</i></sub> jump-diffusion family. Call and put options are particular cases of our general model. These option pricing formulae nest Merton's (<span>1976</span>) jump-diffusion equations. Our option valuation formulae are able to generate symmetric and asymmetric volatility <i>smiles</i> and <i>skews</i> with similar shapes to those observed in the foreign exchange options market, and they solve several pricing biases of Black (<span>1976</span>) and Garman and Kohlhagen (<span>1983</span>) models. Copyright © 2010 John Wiley & Sons, Ltd.</p>","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":null,"pages":null},"PeriodicalIF":4.6000,"publicationDate":"2010-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/ijfe.433","citationCount":"0","resultStr":"{\"title\":\"FX risk-neutral valuation relationships for the SU jump-diffusion family\",\"authors\":\"Ana Câmara, António Câmara, Ivilina Popova, Betty Jo Simkins\",\"doi\":\"10.1002/ijfe.433\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This paper derives preference-free pricing formulae for foreign exchange options, which are consistent with a general equilibrium representative agent economy. These risk-neutral valuation relationships (RNVR's) are obtained for the <i>S</i><sub><i>U</i></sub> jump-diffusion family. Call and put options are particular cases of our general model. These option pricing formulae nest Merton's (<span>1976</span>) jump-diffusion equations. Our option valuation formulae are able to generate symmetric and asymmetric volatility <i>smiles</i> and <i>skews</i> with similar shapes to those observed in the foreign exchange options market, and they solve several pricing biases of Black (<span>1976</span>) and Garman and Kohlhagen (<span>1983</span>) models. Copyright © 2010 John Wiley & Sons, Ltd.</p>\",\"PeriodicalId\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.6000,\"publicationDate\":\"2010-10-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1002/ijfe.433\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/ijfe.433\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/ijfe.433","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
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