Skip navigation
Skip navigation
The system will be down for maintenance between 8:00 and 8:15am on Wednesday 12, December 2018

Currency Derivatives Under a Minimal Market with Random Scaling

Heath, David; Platen, Eckhard


This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market for the pricing and hedging of derivatives. Time transformed squared Bessel processes are the basic driving factors of the minimal market model. The time transformation is characterized by a random scaling, which provides for realistic exchange rate dynamics. The pricing of standard European options is studied. In particular, it is shown that the model produces implied...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
Source: International Journal of Theoretical and Applied Finance
DOI: 10.1142/S0219024905003360


File Description SizeFormat Image
01_Heath_Currency_Derivatives_Under_a_2005.pdf592.37 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  27 November 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator