Valuing foreign exchange rate derivatives with a bounded exchange process
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Publication:375253
DOI10.1007/BF01531597zbMATH Open1274.91415OpenAlexW1988097950MaRDI QIDQ375253FDOQ375253
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531597
Cites Work
Cited In (9)
- A two-state jump model
- On model robustness of the regime switching approach for pegged foreign exchange markets
- The waterline tree for separable local-volatility models
- Pricing and hedging performance on pegged FX markets based on a regime switching model
- Hermite polynomial based expansion of European option prices
- The pricing of derivatives on assets with quadratic volatility
- Captive diffusions and their applications to order-preserving dynamics
- Option pricing with quadratic volatility: a revisit
- Title not available (Why is that?)
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