scientific article; zbMATH DE number 5260301
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Publication:5455634
zbMATH Open1174.91481MaRDI QIDQ5455634FDOQ5455634
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Publication date: 4 April 2008
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- Pricing foreign equity option with stochastic volatility
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- FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
- The pricing of options on assets with stochastic volatilities
- Option prices under stochastic volatility
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (21)
- COMPARISON OF STOCHASTIC VOLATILITY MODELS: EMPIRICAL STUDY ON KOSPI 200 INDEX OPTIONS
- Pricing and hedging problem of foreign currency option with higher borrowing rate
- Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
- Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
- Asymptotic analysis for foreign exchange derivatives with stochastic volatility
- FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- Pricing foreign equity option with stochastic volatility
- CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
- A multivariate stochastic unit root model with an application to derivative pricing
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate
- The valuation of foreign currency options under stochastic interest rates
- Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
- Closed-form pricing formula for foreign equity option with credit risk
- On computing the price of financial instruments in foreign currency
- Option pricing with quadratic volatility: a revisit
- A multiscale extension of the Margrabe formula under stochastic volatility
- Option pricing and hedging under stochastic Verhulst-Gompertz equation
- Pricing foreign currency options with stochastic volatility
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity
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