Pricing currency options under two-factor Markov-modulated stochastic volatility models (Q2518532)
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scientific article; zbMATH DE number 5493022
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| default for all languages | No label defined |
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| English | Pricing currency options under two-factor Markov-modulated stochastic volatility models |
scientific article; zbMATH DE number 5493022 |
Statements
Pricing currency options under two-factor Markov-modulated stochastic volatility models (English)
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16 January 2009
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currency options
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two-factor stochastic volatility
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regime switching
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Esscher transform
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decomposition
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0.8709616661071777
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0.8493180871009827
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0.8461740612983704
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0.8358582258224487
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0.8314804434776306
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