Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Yu-Min Lian, Jun-Home Chen, Szu-Lang Liao
| Year of publication: |
2024
|
|---|---|
| Authors: | Lian, Yu-Min ; Chen, Jun-Home ; Liao, Szu-Lang |
| Subject: | Cross-currency derivatives | Esscher transform | Foreign exchange rate | Markov-modulated cojump-diffusion dynamics | Simultaneous jump | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Währungsderivat | Currency derivative | Wechselkurs | Exchange rate | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2024.04.030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014535585