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- W2951368391 abstract "Abstract In this paper, the pricing of foreign exchange (FX) options is studied under the Moretto–Pasquali–Trivellato (MPT) stochastic volatility model by introducing an approximative fractional stochastic volatility and jumps, in which the FX rate has log-normal jump amplitudes, the volatility has asymmetric double exponential jump amplitudes, and the domestic and foreign interest rates are governed by Cox–Ingersoll–Ross (CIR) dynamics. By employing a suitable version of the Fourier inversion technique for corresponding conditional characteristic functions, a semi-analytical formula for the price of FX European call options is obtained under mild conditions. The behavior of the newly derived pricing formula is further demonstrated through some numerical experiments." @default.
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- W2951368391 date "2019-10-01" @default.
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- W2951368391 title "Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility" @default.
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- W2951368391 doi "https://doi.org/10.1016/j.physa.2019.121871" @default.
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