Article citationsMore>>

Jagannathan, R. (2008) A Class of Asset Pricing Models Governed by Subordinated Processes That Signal Economic Shocks. Journal of Economic Dynamics and Control, 32, 3820-3846.
https://doi.org/10.1016/j.jedc.2008.04.004

has been cited by the following article:

• TITLE: A Linear Regression Approach for Determining Option Pricing for Currency-Rate Diffusion Model with Dependent Stochastic Volatility, Stochastic Interest Rate, and Return Processes

  AUTHORS: Raj Jagannathan

  KEYWORDS: Option Pricing, Interest-Rate Parity Condition, Black-Scholes Model, Linear Regression Approach, Spot Option, Ito Calculus

  JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.1, February 28, 2018

  ABSTRACT: A three-factor exchange-rate diffusion model that includes three stochastically-dependent Brownian motion processes, namely, the domestic interest rate process, volatility process and return process is considered. A linear regression approach that derives explicit expressions for the distribution function of log return of foreign exchange rate is derived. Subsequently, a closed form workable formula for the call option price that has an algebraic expression similar to a Black-Scholes model, which facilitates easier study, is discussed.