Markov-modulated jump-diffusions for currency option pricing (Q659253)
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scientific article; zbMATH DE number 6004712
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Markov-modulated jump-diffusions for currency option pricing |
scientific article; zbMATH DE number 6004712 |
Statements
Markov-modulated jump-diffusions for currency option pricing (English)
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10 February 2012
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spot foreign exchange rate
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rare event
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time-inhomogeneity
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Esscher transform
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currency option
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0.8915284872055054
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0.850484311580658
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0.8325328230857849
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0.8314804434776306
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