The valuation of options on foreign exchange rate in a target zone (Q2806367)
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scientific article; zbMATH DE number 6581267
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| English | The valuation of options on foreign exchange rate in a target zone |
scientific article; zbMATH DE number 6581267 |
Statements
17 May 2016
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skew CIR
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foreign exchange rate
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target zone
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transition density
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first hitting time
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spectral expansion
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barrier and one-touch options
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The valuation of options on foreign exchange rate in a target zone (English)
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