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Foreign currency power option pricing based on Esscher transform
Li, Wenhan; Li, Cuixiang; Liu, Lixia; Wang, Mengna - In: Computational economics 58 (2021) 2, pp. 535-548
Persistent link: https://www.econbiz.de/10012615075
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Pricing vulnerable options with stochastic volatility and stochastic interest rate
Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429
Persistent link: https://www.econbiz.de/10012272041
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Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
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Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Ma, Yong-Ki - In: Computational economics 55 (2020) 1, pp. 185-210
Persistent link: https://www.econbiz.de/10012222596