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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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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