Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Year of publication: |
2015
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Authors: | Ahlip, Rehez ; Rutkowski, Marek |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 1/2, p. 1-27
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Subject: | Foreign exchange options | Heston's model | jump-diffusion model | Optionspreistheorie | Option pricing theory | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process | Währungsderivat | Currency derivative | Volatilität | Volatility | CAPM |
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