登录 注册 会员服务 联系我们

Pricing foreign equity option with stochastic volatility

  • Published:2015-11 Issue: Volume:437 Page:89-100
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Sun Qi,Xu Weidong

Funder

National Natural Science Foundation of China

China Postdoctoral Science Foundation

Collaborative Innovation Center of Building of Modern Commercial Circulation System of Zhejiang Gongshang University

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference44 articles.

1. Pricing foreign index contingent claims: An application to Nikkei index warrants;Dravid;J. Deriv.,1993

2. Correlation risk, cross-market derivative products and portfolio performance;Ho;J. Eur. Financ. Manag.,1995

3. Quanto mechanics;Reiner;Risk,1992

4. Currency-translated foreign equity options: The American case;Toft;Adv. Futures Options Res.,1997

5. Currency-translated foreign equity options with path dependent features and their multi-asset extensions;Kwok;Int. J. Theor. Appl. Finance,2000

Cited by 14 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. Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models;Communications in Statistics - Theory and Methods;2022-10-10

2. Closed-form pricing formula for foreign equity option with credit risk;Advances in Difference Equations;2021-07-13

3. Pricing equity warrants in Merton jump–diffusion model with credit risk;Physica A: Statistical Mechanics and its Applications;2020-11

4. Foreign Currency Power Option Pricing Based on Esscher Transform;Computational Economics;2020-09-17

5. Pricing and hedging foreign equity options under Hawkes jump–diffusion processes;Physica A: Statistical Mechanics and its Applications;2020-01
同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3