Pricing currency options under two-factor Markov-modulated stochastic volatility models
| Year of publication: |
2008
|
|---|---|
| Authors: | Siu, Tak Kuen ; Yang, Hailiang ; Lau, John W. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 43.2008, 3, p. 295-302
|