scientific article; zbMATH DE number 6453605

DOI10.3969/J.ISSN.1001-4268.2014.06.003MaRDI QIDQ5260209zbMATH OpenFDO

Authors Wei Wang, Xiaonan Su, Qijie Zhao

Publication date 29 June 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2014.06.003

zbMATH Keywords

jump diffusion processMarkov-modulated modeloption pricing

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(6)

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• Pricing forward-starting options in double exponential jump-diffusion models
• Correlation options pricing with exchange rate risk under regime-switching jump-diffusion models

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