Valuation and hedging strategy of currency options under regime-switching jump-diffusion model

Author:

Chen Shou-ting,Diao Xun-di,Zhu Ai-lin

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Reference31 articles.

1. Ball, C.A. A review of stochastic volatility models with application to option pricing. Financial Markets Institutions Instruments, 2(5): 55–71 (1993)

2. Basak, G.K., Ghosh, M.K., Goswami, A. Risk minimizing option pricing for a class of exotic options in a markov-modulated market. Stochastic Analysis and Applications, 29: 259–281 (2011)

3. Bates, T. Jumps and stochastic volatility: Exchange rate processes implicit in Deutsch mark options. Review of Financial Studies, 9: 69–107 (1996)

4. Biger, T., Hull, J. The valuation of currency options. Financial Management, 12: 24–28 (1983)

5. Bo, L.J., Wang, Y.J., Yang, X.W. Markov-modulated jump-diffusions for currency option pricing. Insuance: Mathematics and Economics, 46: 461–469 (2010)

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