Markov modulated jump-diffusions for currency options when regime switching risk is priced
Year of publication: |
2019
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Authors: | Liu, David |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 4, p. 1-26
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Subject: | Spot foreign exchange rate | rare event | Markov regime-switching | Esscher transform | currency option | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Währungsderivat | Currency derivative |
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