Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Rehez Ahlip & Marek Rutkowski
| Year of publication: |
2015
|
|---|---|
| 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
|
| Subject: | Foreign exchange options | Heston's model | jump-diffusion model | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Devisenoption | Currency option | Währungsderivat | Currency derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010505183