Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching (Q5065589)
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scientific article; zbMATH DE number 7495790
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| English | Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching |
scientific article; zbMATH DE number 7495790 |
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Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching (English)
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22 March 2022
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Heston-Cox-Ingersoll-Ross hybrid model
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regime switching
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foreign exchange options
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closed-form analytical solution
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empirical study
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AMS(MOS)
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subject classification
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