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Automation and Remote Control

, Volume 79, Issue 4, pp 679–690 | Cite as

On Computing the Price of Financial Instruments in Foreign Currency

  • R. V. Ivanov
Control in Social Economic Systems
  • 21 Downloads

Abstract

We derive analytic formulas for the prices of financial instruments in foreign currency within the framework of a stochastic model defined as the sum of a variance gamma and a Poisson process. We obtain our results for various types of dependencies in the model. The resulting formulas contain values of hypergeometric functions. Practical applications of our results include control over the activity of investors in financial markets.

Keywords

variance gamma process call option Poisson process price of derivative hypergeometric function 

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Copyright information

© Pleiades Publishing, Ltd. 2018

Authors and Affiliations

  1. 1.Trapeznikov Institute of Control SciencesRussian Academy of SciencesMoscowRussia

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