CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING
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Publication:5493855
DOI10.1142/S0219024905003360zbMath1101.91039MaRDI 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)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
91B26: Auctions, bargaining, bidding and selling, and other market models
Cites Work
- 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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