Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
DOI10.1016/J.CAM.2014.12.003zbMATH Open1307.91182OpenAlexW2051124039MaRDI QIDQ484871FDOQ484871
Publication date: 8 January 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2014.12.003
integro-differential equationcurrency optionequilibrium valuationjump-diffusion model with stochastic volatility
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
- Power Variation and Time Change
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Equilibrium asset prices and exchange rates
- Currency prices, the nominal exchange rate, and security prices in a two-country dynamic monetary equilibrium
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
Cited In (8)
- Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps
- Efficient option pricing in crisis based on dynamic elasticity of variance model
- CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Equilibrium pricing of currency options under a discontinuous model in a two-country economy
- EQUILIBRIUM VALUATION OF CURRENCY OPTIONS UNDER A DISCONTINUOUS MODEL WITH CO-JUMPS
- Time series represented by means of fuzzy piecewise lineal segments
- Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity
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