Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates
Year of publication: |
2007
|
---|---|
Authors: | Guo, Jia-Hau ; Hung, Mao-Wei |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139x. - Vol. 27.2007, 9, p. 867-892
|
Saved in:
Saved in favorites
Similar items by person
-
A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
Guo, Jia-Hau, (2007)
-
A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu, (2016)
-
Limit hits and informationally-related stocks
Guo, Jia-Hau, (2017)
- More ...