The valuation of options on foreign exchange rate in a target zone
DOI10.1142/S0219024916500205zbMATH Open1337.91115MaRDI QIDQ2806367FDOQ2806367
Shiyu Song, Yongjin Wang, Guangli Xu
Publication date: 17 May 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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first hitting timetransition densityspectral expansiontarget zoneforeign exchange rateskew CIRbarrier and one-touch options
Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- A theory of the term structure of interest rates
- Title not available (Why is that?)
- Title not available (Why is that?)
- A time series model for an exchange rate in a target zone with applications
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- Skew Ornstein-Uhlenbeck processes and their financial applications
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- A Jump‐diffusion Model for Exchange Rates in a Target Zone
Cited In (6)
- On the transition density and first hitting time distributions of the doubly skewed CIR process
- 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
- Title not available (Why is that?)
- EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT
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