Pricing and hedging performance on pegged FX markets based on a regime switching model-Reference-Cited by-同舟云学术

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Pricing and hedging performance on pegged FX markets based on a regime switching model

Published:2020-07-28 Issue:2 Volume:21 Page:305-322
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Zhang Yunbo¹,Drapeau Samuel²

Affiliation:

1. School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai, People's Republic of China

2. School of Mathematical Sciences & Shanghai Advanced Institute for Finance (CAFR), Shanghai Jiao Tong University, Shanghai, People's Republic of China

Funder

National Science Foundation of China

Shanghai Jiao Tong University

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1776378

Reference30 articles.

1. An extension of mean-variance hedging to the discontinuous case

2. Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

3. American Options in Regime-Switching Models

4. Bounded Brownian Motion

5. FX Options in Target Zone

Cited by 2 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. On model robustness of the regime switching approach for pegged foreign exchange markets;Quantitative Finance;2022-04-13

2. Model Robustness of the Regime Switching Approach for the Usd-Hkd Pegged Foreign Exchange Market;SSRN Electronic Journal;2021

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