Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470): Difference between revisions

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Latest revision as of 11:13, 30 July 2024

scientific article; zbMATH DE number 6938617
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Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model
scientific article; zbMATH DE number 6938617

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    Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (English)
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    18 September 2018
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    foreign exchange options
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    Heston's model
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    CIR model
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    jump-diffusion model
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