• Corpus ID: 221995764

On the Pricing of Currency Options under Variance Gamma Process

  title={On the Pricing of Currency Options under Variance Gamma Process},
  author={Azwar Abdulsalam and Gowri Jayprakash and Abhijeet Chandra},
  journal={arXiv: Pricing of Securities},
The pricing of currency options is largely dependent on the dynamic relationship between a pair of currencies. Typically, the pricing of options with payoffs dependent on multi-assets becomes tricky for reasons such as the non-Gaussian distribution of financial variable and non-linear macroeconomic relations between these markets. We study the options based on the currency pair US dollar and Indian rupee (USD-INR) and test several pricing formulas to evaluate the performance under different… 

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