Pricing currency derivatives with Markov-modulated Lévy dynamics
Anatoliy Swishchuk; Maksym Tertychnyi; Robert Elliott
| Year of publication: |
2014
|
|---|---|
| Authors: | Sviščuk, Anatolij ; Tertychnyi, Maksym ; Elliott, Robert J. |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 57.2014, p. 67-76
|
| Subject: | Foreign exchange rate | Esscher transform | Risk-neutral measure | European call option | Lévy processes | Markov processes | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Währungsderivat | Currency derivative | Markov-Kette | Markov chain | Derivat | Derivative | Wechselkurs | Exchange rate |
| 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://ebvufind01.dmz1.zbw.eu/10010402730