Stochastic differential equations with diffusion and jumps modeling currency markets

DOI10.3103/S1063454109040013zbMATH Open1187.60044OpenAlexW2055598291MaRDI QIDQ845088FDOQ845088

Authors: S. R. Filimonova, Yana Belopolskaya 

Publication date: 5 February 2010

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1063454109040013

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zbMATH Keywords

local volatilityexchange rateMerton's modelmarket option prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Option pricing when underlying stock returns are discontinuous
• Title not available (Why is that?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Title not available (Why is that?)

Cited In (2)

• Pricing currency derivatives with Markov-modulated Lévy dynamics
• Modeling the BUX index by a novel stochastic differential equation

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