PRICING CURRENCY FUTURES OPTIONS WITH LOGNORMALLY DISTRIBUTED JUMPS
研究发现混合扩散跳跃过程比正态混合或稳定帕累托模型更适合描述货币期货价格，且Merton的跳跃扩散期权定价模型优于Black模型，建议研究者考虑跳跃过程。
We find that a mixed diffusion‐jump process fits most daily currency futures price series better than a mixture of normal densities and, especially, an asymmetric stable Paretian model. We also find that Merton's (1976) mixed diffusion‐jump option pricing model outperforms Black's (1 976) model for valuing currency futures options. Our results suggest that researchers should begin to consider the possibility of jump processes as time‐independent models of other futures price series.