Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
http://link.springer.com/content/pdf/10.1007/s11156-014-0478-9.pdf
Reference34 articles.
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3. Bailey W, Stulz RM (1989) The pricing of stock index options in a general equilibrium model. J Financ Quant Anal 24:1–12
4. Ball CA, Torous WN (1985) On Jumps in common stock prices and their impact on call option pricing. J Financ 40:155–173
5. Bansal R, Zhou H (2002) Term structure of interest rates with regime shifts. Journal of Finance 5:1997–2043
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps;The Journal of Derivatives;2018-11-19
2. Pricing currency options in the Heston/CIR double exponential jump-diffusion model;International Journal of Financial Engineering;2017-03
3. Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps;Annals of Operations Research;2016-08-27
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