The foreign-domestic symmetry formula of FX options in stochastic volatility jump-diffusion models
From MaRDI portal
Publication:5399569
zbMATH Open1299.91138MaRDI QIDQ5399569FDOQ5399569
Authors: Qunfang Bao, Wenli Huang, Shenghong Li
Publication date: 28 February 2014
Recommendations
- scientific article; zbMATH DE number 1218263
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
- FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility
- The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
This page was built for publication: The foreign-domestic symmetry formula of FX options in stochastic volatility jump-diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5399569)