Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity

DOI10.1080/03610926.2019.1646763MaRDI QIDQ5079464zbMATH OpenOpenAlexFDO

Authors Yu Xing, Dingcheng Wang, Xiao-Ping Yang

Publication date 27 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1646763

zbMATH Keywords

partial integro-differential equationequilibrium pricingforeign exchange optionstochastic jump intensity

Mathematics Subject Classification ID

Statistics (62-XX) Foundations of stochastic processes (60G05)

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• scientific article; zbMATH DE number 5260301

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(1)

• Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process

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