Foreign exchange options on Heston-CIR model under Lévy process framework (Q2698161)
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scientific article; zbMATH DE number 7677275
| Language | Label | Description | Also known as |
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| English | Foreign exchange options on Heston-CIR model under Lévy process framework |
scientific article; zbMATH DE number 7677275 |
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Foreign exchange options on Heston-CIR model under Lévy process framework (English)
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21 April 2023
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Heston-CIR model
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variance gamma process
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Lévy processes
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foreign short interest rates
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0.8518099188804626
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0.8121681809425354
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0.8030494451522827
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0.8027121424674988
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