Foreign exchange option pricing under regime switching with asymmetrical jumps
Yu-Min Lian, Jun-Home Chen
| Year of publication: |
2022
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|---|---|
| Authors: | Lian, Yu-Min ; Chen, Jun-Home |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 46.2022, 1, p. 1-11
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| Subject: | Dynamic measure change | Foreign exchange (FX) option | Foreign exchange (FX) rate | Markov-modulated Heath-Jarrow-Morton model | Two-factor Markov-modulated stochastic volatility model with double exponential jumps | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process | Wechselkurs | Exchange rate | Währungsderivat | Currency derivative | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102294 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013341395