Pricing currency options under two-factor Markov-modulated stochastic volatility models
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Publication:2518532
DOI10.1016/j.insmatheco.2008.05.002zbMath1152.91550OpenAlexW2008819271MaRDI QIDQ2518532
Hailiang Yang, John W. Lau, Tak Kuen Siu
Publication date: 16 January 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.002
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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