Pricing currency options under two-factor Markov-modulated stochastic volatility models (Q2518532): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 03:49, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing currency options under two-factor Markov-modulated stochastic volatility models |
scientific article |
Statements
Pricing currency options under two-factor Markov-modulated stochastic volatility models (English)
0 references
16 January 2009
0 references
currency options
0 references
two-factor stochastic volatility
0 references
regime switching
0 references
Esscher transform
0 references
decomposition
0 references
