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Foreign currency bubbles
Jarrow, Robert A.; Protter, Philip E. - In: Review of derivatives research 14 (2011) 1, pp. 67-83
Persistent link: https://www.econbiz.de/10009272490
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Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
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Rare shock, two-factor stochastic volatility and currency option pricing
Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Applied mathematical finance 21 (2014) 1/2, pp. 32-50
Persistent link: https://www.econbiz.de/10010351858
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Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278
Persistent link: https://www.econbiz.de/10011312416
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Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: Finance research letters 16 (2016), pp. 208-219
Persistent link: https://www.econbiz.de/10011656179
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Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David - In: International journal of financial engineering 6 (2019) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
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Foreign currency power option pricing based on Esscher transform
Li, Wenhan; Li, Cuixiang; Liu, Lixia; Wang, Mengna - In: Computational economics 58 (2021) 2, pp. 535-548
Persistent link: https://www.econbiz.de/10012615075
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Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: International review of economics & finance : IREF 93 (2024) 2, pp. 503-519
Persistent link: https://www.econbiz.de/10014535585