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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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Equilibrium pricing of currency options under a discontinuous model in a two-country economy
Xing, Yu; Yang, Xiaoping - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 185-198
Persistent link: https://www.econbiz.de/10011507471
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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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On hedge parameters of currency options
Choi, Youngna; Yoon, Yeomin - In: International journal of business 27 (2022) 1, pp. 42-59
Persistent link: https://www.econbiz.de/10013183759
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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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Implementation of the BDT model with different volatility estimators : applications to Eurodollar futures options
Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of fixed income 8 (1999) 4, pp. 24-34
Persistent link: https://www.econbiz.de/10001432399
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Pricing foreign currency and cross-currency options under GARCH
Duan, Jin-Chuan; Wei, Jason - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 51-68
Persistent link: https://www.econbiz.de/10001432469
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Dual characterization of super-hedging prices in a currency market with proportional transaction costs
Schmidt, Markus R. - 1999
Persistent link: https://www.econbiz.de/10001461438
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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10001465153
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Options on the minimum or the maximum of two average prices
Wu, Xueping; Zhang, Jin E. - In: Review of derivatives research 3 (1999) 2, pp. 183-204
Persistent link: https://www.econbiz.de/10001484572