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Please refer to this blog post for more information. We develop a unified approach with closed-form solutions for pricing bonds, stocks, currencies and their derivatives.

By assuming a volatility-in-mean specification for the domestic stock returns and the relative changes of exchange rates, and a domestic stochastic discount factor exponential affine with respect to the fundamental risk, it is possible to derive closed form solutions for the term structures of interest rates and for the risk-neutral probabilities while keeping the flexibility of the model.

In this framework where the stock price follows a model with stochastic volatility, we obtain explicit or quasi-explicit formulas for futures and forward contracts, swaps and options. This extends results by Heston and Ball and Roma Journals Books Register Sign in Sign in using your ScienceDirect credentials Username.

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Journal of International Money and Finance Volume 29, Issue 8 , December , Pages International money and stock market contingent claims. Author links open the author workspace. Opens the author workspace Opens the author workspace a.

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Click to expose these in author workspace R. Click to expose these in author workspace a CREST, 15 bd G Peri, Malakoff, France b University of Toronto, Canada c Banque de France, France d University of Maastricht, Netherlands e York University, Canada. Abstract We develop a unified approach with closed-form solutions for pricing bonds, stocks, currencies and their derivatives.

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