Cupidon, Jean René; Hyppolite, Judex - In: Cogent economics & finance 10 (2022) 1, pp. 1-23
This paper presents some models of exchange rate with jumps, namely jump diffusion exchange rate models. Jump diffusion … modeling in general. However, even the simplest jump diffusion model introduces some analytical difficulty in terms of finding … to the models and also investigate the model’s predictions of the exchange rate. We introduce two jump diffusion models …