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

Xu Chen; Jianping Wan

doi:10.3934/dcdsb.2007.8.529

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2007, Volume 8, Issue 3: 529-537. Doi: 10.3934/dcdsb.2007.8.529

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

Xu Chen^1, and
Jianping Wan^2,

1.
Department of Mathematics, Hunan Normal University, Hunan 410081
2.
Department of Mathematics, Huazhong University of Science & Technology, Wuhan 430074

Received: July 31, 2006

Published: April 2007

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Abstract

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.

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Mathematics Subject Classification: Primary: 60G51; Secondary: 91B28, 91B70.

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