Foreign exchange option pricing in the currency cycle with jump risks
Chien-Hsiu Lin; Shih-Kuei Lin; An-Chi Wu
| Year of publication: |
2015
|
|---|---|
| Authors: | Lin, Chien-Hsiu ; Lin, Shih-kuei ; Wu, An-Chi |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 44.2015, 4, p. 755-789
|
| Subject: | Exchange rate | Currency option | Regime-switching | Jump risks | Optionspreistheorie | Option pricing theory | Währungsderivat | Currency derivative | Volatilität | Volatility | Devisenoption | Stochastischer Prozess | Stochastic process | Wechselkurs | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011333144