Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate

Anatoliy Swishchuk; Maksym Tertychnyi; Winsor Hoang

Year of publication:	2014
Authors:	Sviščuk, Anatolij ; Tertychnyi, Maksym ; Hoang, Winsor
Published in:	Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 4, p. 265-278
Subject:	Foreign Exchange Rate \| Esscher Transform \| Risk-Neutral Measure \| European Call Option \| Markov Processes \| Währungsderivat \| Currency derivative \| Optionspreistheorie \| Option pricing theory \| Derivat \| Derivative \| Wechselkurs \| Exchange rate \| Markov-Kette \| Markov chain \| Stochastischer Prozess \| Stochastic process \| Devisenmarkt \| Foreign exchange market \| Volatilität \| Volatility

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