Rare shock, two-factor stochastic volatility and currency option pricing
Guanying Wang, Xingchun Wang & Yongjin Wang
| Year of publication: |
2014
|
|---|---|
| Authors: | Wang, Guanying ; Wang, Xingchun ; Wang, Yongjin |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 32-50
|
| Subject: | Spot foreign exchange rate | rare shock | Esscher transform | currency option | Volatilität | Volatility | Schock | Shock | Optionspreistheorie | Option pricing theory | Wechselkurs | Exchange rate | Devisenoption | Currency option | Währungsderivat | Currency derivative | Stochastischer Prozess | Stochastic process |
| 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://www.econbiz.de/10010351858