Efficient hedging currency options in fractional Brownian motion model with jumps (Q2164804): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.physa.2019.122868 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2976741390 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on Wick products and the fractional Black-Scholes model / rank
 
Normal rank
Property / cites work
 
Property / cites work: A General Fractional White Noise Theory And Applications To Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5430704 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing by hedging and no-arbitrage beyond semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Alternative models for stock price dynamics. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Jump-Diffusion Model for Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mixed fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing currency options in the mixed fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing currency option in a mixed fractional Brownian motion with jumps environment / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new exact solution for pricing European options in a two-state regime-switching economy / rank
 
Normal rank
Property / cites work
 
Property / cites work: On pricing barrier options with regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing under regime-switching jump-diffusion models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient hedging: cost versus shortfall risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantile hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2741111 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantile hedging of equity-linked life insurance policies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient hedging of equity-linked life insurance policies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4356493 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient hedging in general Black-Scholes model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of parameters in the fractional compound Poisson process / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 21:26, 29 July 2024

scientific article
Language Label Description Also known as
English
Efficient hedging currency options in fractional Brownian motion model with jumps
scientific article

    Statements

    Efficient hedging currency options in fractional Brownian motion model with jumps (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    17 August 2022
    0 references
    efficient hedging
    0 references
    european call option
    0 references
    exchange option
    0 references
    fractional Brownian motion
    0 references
    jump noise
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers