Valuing foreign exchange rate derivatives with a bounded exchange process
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Cites work
Cited in
(10)- The valuation of options on foreign exchange rate in a target zone
- 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
- scientific article; zbMATH DE number 5526153 (Why is no real title available?)
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