Siu, Tak Kuen; Yang, Hailiang; Lau, John W. - In: Insurance: Mathematics and Economics 43 (2008) 3, pp. 295-302
This article investigates the valuation of currency options when the dynamic of the spot Foreign Exchange (FX) rate is governed by a two-factor Markov-modulated stochastic volatility model, with the first stochastic volatility component driven by a lognormal diffusion process and the second...