October  2007, 8(3): 529-537. doi: 10.3934/dcdsb.2007.8.529

Integro-differential equations for foreign currency option prices in exponential Lévy models

1. 

Department of Mathematics, Hunan Normal University, Hunan 410081, China

2. 

Department of Mathematics, Huazhong University of Science & Technology, Wuhan 430074, China

Received  August 2006 Published  July 2007

We investigate the rational evaluation of foreign currency option price when the underlying price processes are described by exponential Lévy processes. The main contribution of our study is that we give the integro-differential equations for foreign currency option prices.
Citation: Xu Chen, Jianping Wan. Integro-differential equations for foreign currency option prices in exponential Lévy models. Discrete and Continuous Dynamical Systems - B, 2007, 8 (3) : 529-537. doi: 10.3934/dcdsb.2007.8.529
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