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

MaRDI QIDQ5399569zbMATH OpenFDO

Authors Qunfang Bao, Wenli Huang, Shenghong Li

Publication date 28 February 2014

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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