Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients-Reference-Cited by-同舟云学术

Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients

Published:2019-05 Issue: Volume:522 Page:215-231
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:

Kim Kyong-Hui,Yun Sim,Kim Nam-Ung,Ri Ju-Hyuang

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference31 articles.

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5. Do stock prices and volatility jump? Reconciling evidence from spot and option prices;Eraker;J. Finance,2004

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