A continuous-time model for valuing foreign exchange options
DOI10.1155/2013/635746zbMATH Open1420.91471OpenAlexW2042164447WikidataQ58916477 ScholiaQ58916477MaRDI QIDQ2318921FDOQ2318921
Authors: James J. Kung 
Publication date: 16 August 2019
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/635746
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Cites Work
- The pricing of options and corporate liabilities
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- Stochastic calculus for finance. II: Continuous-time models.
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- Stochastic differential equations. An introduction with applications.
- Partial differential equations with Fourier series and boundary value problems
- Power penalty method for a linear complementarity problem arising from American option valuation
- Pricing American bond options using a penalty method
- Convergence analysis of a monotonic penalty method for American option pricing
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Cited In (2)
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