Path-dependent currency options with mean reversion

被引：17
|
作者：
Wong, Hoi Ying [1 ]
Lau, Ka Yung [1 ]
机构：
[1] Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R China
来源：
JOURNAL OF FUTURES MARKETS | 2008年 / 28卷 / 03期
关键词：
D O I：
10.1002/fut.20306
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper develops a path-dependent currency option pricing framework in which the exchange rate follows a mean-reverting lognormal process. Analytical solutions are derived for barrier options with a constant barrier, lookback options, and turbo warrants. As the analytical solutions are obtained using a Laplace transform, this study numerically shows that the solution implemented with a numerical Laplace inversion is efficient and accurate. The pricing behavior of path-dependent options with mean reversion is contrasted with the Black-Scholes model. (C) 2008 Wiley Periodicals, Inc.
引用
收藏
页码：275 / 293
页数：19
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