On Computing the Price of Financial Instruments in Foreign Currency

Аннотация

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.