Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
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Publication:5065589
DOI10.1093/imaman/dpab013MaRDI QIDQ5065589
Publication date: 22 March 2022
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imaman/dpab013
regime switching; empirical study; closed-form analytical solution; subject classification; foreign exchange options; AMS(MOS); Heston-Cox-Ingersoll-Ross hybrid model
90-XX: Operations research, mathematical programming
91-XX: Game theory, economics, finance, and other social and behavioral sciences
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