Foreign exchange option pricing under regime switching with asymmetrical jumps
Year of publication: |
2022
|
---|---|
Authors: | Lian, Yu-Min ; Chen, Jun-Home |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 46.2022, 1, p. 1-11
|
Subject: | Dynamic measure change | Foreign exchange (FX) option | Foreign exchange (FX) rate | Markov-modulated Heath-Jarrow-Morton model | Two-factor Markov-modulated stochastic volatility model with double exponential jumps | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Währungsderivat | Currency derivative |
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