Amin jarrow pricing foreign currency options under stochastic interest rates

AbstractIn this paper, we build a general framework to price contingent claims on foreign currencies using the Heath et al. Closed form solutions are obtained for European options on currencies and currency futures assuming that the volatility functions determining the term structure are deterministic.

As such, this paper provides an example of a bond price process for both the domestic and foreign economies consistent with Grabbe's formulation of the same problem.

Pricing foreign currency options under stochastic interest rates

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Bibliographic Info Article provided by Elsevier in its journal Journal of International Money and Finance. Other versions of this item: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 14, pages World Scientific Publishing Co. Find related papers by JEL classification: B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since - - - Financial Economics O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates ford stock price today msn - - Financial Markets and the Macroeconomy References No references listed on IDEAS You can help add them by filling out this form.

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