The valuation of options on foreign exchange rate in a target zone

DOI10.1142/S0219024916500205MaRDI QIDQ2806367zbMATH OpenFDO

Authors Guangli Xu, Shiyu Song, Yongjin Wang

Publication date 17 May 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

first hitting timetransition densityspectral expansiontarget zoneforeign exchange rateskew CIRbarrier and one-touch options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 192951 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• A theory of the term structure of interest rates
• A time series model for an exchange rate in a target zone with applications
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• SELF EXCITING THRESHOLD INTEREST RATES MODELS
• Skew Ornstein-Uhlenbeck processes and their financial applications

Cited in

(8)

• A statistical analysis of the diffusion models for the exchange rate in a target zone
• Derivative pricing based on the exchange rate in a target zone with realignment
• On the transition density and first hitting time distributions of the doubly skewed CIR process
• Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
• A Markov chain approximation scheme for option pricing under skew diffusions
• A general framework to simulate diffusions with discontinuous coefficients and local times
• A simple trinomial lattice approach for the skew-extended CIR models
• scientific article; zbMATH DE number 1779727 (Why is no real title available?)

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