CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING

DOI10.1142/S0219024905003360zbMath1101.91039OpenAlexW2244284646MaRDI QIDQ5493855

Eckhard Platen, David C. Heath

Publication date: 16 October 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905003360

zbMATH Keywords

stochastic volatilityrandom scalingminimal market modelcurrency derivatives

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE

Cites Work

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• Valuation of FX barrier options under stochastic volatility
• Understanding the implied volatility surface for options on a diversified index
• PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• A BENCHMARK APPROACH TO FINANCE

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