Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Year of publication: |
2024
|
---|---|
Authors: | Lian, Yu-Min ; Chen, Jun-Home ; Liao, Szu-Lang |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 93.2024, 2, p. 503-519
|
Subject: | Cross-currency derivatives | Esscher transform | Foreign exchange rate | Markov-modulated cojump-diffusion dynamics | Simultaneous jump | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Wechselkurs | Exchange rate | Volatilität | Volatility | Währungsderivat | Currency derivative |
-
Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij, (2014)
-
The Q-measure dynamics of forward rates
Rebonato, Riccardo, (2023)
-
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij, (2014)
- More ...
-
State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min, (2015)
-
Cojump risks and their impacts on option pricing
Lian, Yu-Min, (2021)
-
Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
Lian, Yu-Min, (2016)
- More ...