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The foreign-domestic symmetry formula of FX options in stochastic volatility jump-diffusion models

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Publication:5399569
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zbMATH Open1299.91138MaRDI QIDQ5399569FDOQ5399569


Authors: Qunfang Bao, Wenli Huang, Shenghong Li Edit this on Wikidata


Publication date: 28 February 2014





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zbMATH Keywords

stochastic volatilityFX optionsAttari's formulaforeign-domestic symmetry formula


Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)







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