A continuous-time model for valuing foreign exchange options

DOI10.1155/2013/635746MaRDI QIDQ2318921zbMATH OpenOpenAlexWikidataFDO

Authors James J. Kung

Publication date 16 August 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/635746

zbMATH Keywords

continuous-time modelexchange options valuation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Pricing foreign currency options with stochastic volatility
• Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
• A non random walk theory of exchange rate dynamics with applications to option pricing
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

Cites work

• scientific article; zbMATH DE number 425356 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Convergence analysis of a monotonic penalty method for American option pricing
• 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
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities

Cited in

(2)

• A non random walk theory of exchange rate dynamics with applications to option pricing
• Valuing foreign exchange rate derivatives with a bounded exchange process

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