{"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}
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Abstract
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 SU jump-diffusion family. Call and put options are particular cases of our general model. These option pricing formulae nest Merton's (1976) jump-diffusion equations. Our option valuation formulae are able to generate symmetric and asymmetric volatility smiles and skews with similar shapes to those observed in the foreign exchange options market, and they solve several pricing biases of Black (1976) and Garman and Kohlhagen (1983) models. Copyright © 2010 John Wiley & Sons, Ltd.
SU跳跃-扩散家族的外汇风险中性估值关系
本文导出了符合一般均衡代表性代理经济的外汇期权无偏好定价公式。这些风险中性的估值关系(RNVR's)是由SU跳跃-扩散族得到的。看涨期权和看跌期权是我们一般模型的特殊情况。这些期权定价公式嵌套了默顿(1976)跳跃-扩散方程。我们的期权估值公式能够产生与外汇期权市场中观察到的相似形状的对称和非对称波动率微笑和偏差，并且它们解决了Black(1976)和Garman和Kohlhagen(1983)模型的几种定价偏差。版权所有©2010 John Wiley &儿子,有限公司
本文章由计算机程序翻译，如有差异，请以英文原文为准。
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