Multi-regime foreign exchange rate model: calibration and pricing

DOI10.1016/J.MATCOM.2024.01.008OpenAlexW4391116053WikidataQ129390366 ScholiaQ129390366MaRDI QIDQ6129474

Ziqing Zhang

Publication date: 17 April 2024

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2024.01.008

zbMATH Keywords

calibrationregime-switchingEuropean option pricingbarrier pricingmulti-regime Black-Scholes model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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