Multi-regime foreign exchange rate model: calibration and pricing

DOI10.1016/J.MATCOM.2024.01.008MaRDI QIDQ6129474zbMATH OpenOpenAlexWikidataFDO

Authors 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

regime-switchingcalibrationEuropean option pricingbarrier pricingmulti-regime Black-Scholes model

Mathematics Subject Classification ID

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

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