Pricing currency options in the Heston/CIR double exponential jump-diffusion model
Rehez Ahlip, Laurence A. F. Park and Ante Prodan
| Year of publication: |
March 2017
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|---|---|
| Authors: | Ahlip, Rehez ; Park, Laurence A. F. ; Prodan, Ante |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 1, p. 1-30
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| Subject: | Heston’s model | CIR model | Kou’s double exponential jumps | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Devisenoption | Currency option | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S242478631750013X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673127