Foreign currency option pricing under jump diffusion processes
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Publication:3601673
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Cited in
(23)- scientific article; zbMATH DE number 7333662 (Why is no real title available?)
- Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option
- Currency option pricing with Wishart process
- Contingent claims on foreign assets following jump-diffusion processes
- Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
- Pricing foreign exchange options under intervention by absorption modeling
- The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate
- CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- Integro-differential equations for foreign currency option prices in exponential Lévy models
- Valuing foreign exchange rate derivatives with a bounded exchange process
- The foreign exchange option pricing of diffusion process with jumps
- Heterogeneous expectations, currency options and the euro/dollar
- On computing the price of financial instruments in foreign currency
- A non random walk theory of exchange rate dynamics with applications to option pricing
- Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
- Exchange Options Under Jump-Diffusion Dynamics
- On the hedging of options on exploding exchange rates
- Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
- Equilibrium valuation of currency options under a discontinuous model with co-jumps
- Pricing of foreign currency deposit products linked with exchange rate
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity
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