Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps
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Publication:2097471
DOI10.3934/jimo.2022022OpenAlexW4285270779MaRDI QIDQ2097471
Huawei Niu, Xiaonan Su, Wei Wang, Yu Xing
Publication date: 14 November 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022022
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
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- Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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