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

DOI10.1080/03610926.2019.1646763OpenAlexW2964568959MaRDI QIDQ5079464FDOQ5079464

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

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• scientific article; zbMATH DE number 5260301

zbMATH Keywords

partial integro-differential equationequilibrium pricingforeign exchange optionstochastic jump intensity

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (1)

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

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