Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Mi-Hsiu Chiang, Chang-Yi Li, Son-Nan Chen
| Year of publication: |
April 2016
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| Authors: | Chiang, Mi-Hsiu ; Li, Chang-Yi ; Chen, Son-nan |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 46.2016, 3, p. 459-482
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| Subject: | Currency options | Heath-Jarrow-Morton model | Double exponential jump diffusion | Esscher transform | Markov chain | Optionspreistheorie | Option pricing theory | Markov-Kette | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-014-0478-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011595469