Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps (Q2097471): Difference between revisions

@@ Property / DOI @@
-.3934/jimo.2022022
@@ Property / DOI: 10.3934/jimo.2022022 / rank @@
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+https://doi.org/10.3934/jimo.2022022
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+W4285270779
@@ Property / OpenAlex ID: W4285270779 / rank @@
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@@ Property / cites work @@
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+Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium
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+Econometrics of co-jumps in high-frequency data with noise
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+Equilibrium approach of asset pricing under Lévy process
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Testing for common arrivals of jumps for discretely observed multidimensional processes
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+Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
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+Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
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@@ Property / cites work @@
+Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
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@@ Property / cites work @@
+Equilibrium asset prices and exchange rates
@@ Property / cites work: Equilibrium asset prices and exchange rates / rank @@
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@@ Property / DOI @@
+.3934/JIMO.2022022
@@ Property / DOI: 10.3934/JIMO.2022022 / rank @@
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