Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
Rehez Ahlip and Marek Rutkowski
| Year of publication: |
May-July 2016
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| Authors: | Ahlip, Rehez ; Rutkowski, Marek |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 7/9, p. 551-571
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| Subject: | foreign exchange options | Heston's model | CIR model | affine models | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Wechselkurs | Exchange rate | Währungsderivat | Currency derivative | Devisenoption | Currency option | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2014.912671 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011619055