Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate-Reference-Cited by-同舟云学术

Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate

Published:2021-06-01 Issue: Volume: Page:1-26
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Yue Shengjie¹²,Ma Chaoqun³,Zhao Xinwei⁴,Deng Chao⁵

Affiliation:

1. School of Finance, Hunan University of Technology and Business, Changsha, China

2. Key Laboratory of Hunan Province for Statistical Learning and Intelligent Computation, Hunan University of Technology and Business, Changsha, China

3. Business School, Hunan University, Changsha, China

4. Business School, Jiangsu University of Technology, Changzhou, China

5. School of Finance, Guangdong University of Foreign Studies, Guangzhou, China

Funder

National Natural Science Foundation of China

National Social Science Fund of China

the Ministry of education of Humanities and Social Science project of China

Major Special Projects of the Department of Science and Technology of Hunan Province

Scientific research project of Hunan Education Department

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2021.1928202

Reference33 articles.

1. Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

2. Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

3. Exchange option pricing under stochastic volatility: a correlation expansion

4. Power exchange options

5. Option valuation using the fast Fourier transform

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