Efficient hedging currency options in fractional Brownian motion model with jumps
Author:
Publisher
Elsevier BV
Subject
Condensed Matter Physics,Statistics and Probability
Reference55 articles.
1. Foreign currency option values;Garman;J. Int. Money Financ.,1983
2. Models of imperfection;Cookson;Risk,1992
3. Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model;Ekvall;European J. Oper. Res.,1997
4. Scaling of the distributions of fluctuations of financial market indices;Gopikrishnan;Phys. Rev. E,1999
5. Scaling of the distribution of price fluctuationsof individual companies;Plerou;Phys. Rev. E,1999
Cited by 10 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 European option under the generalized fractional jump-diffusion model;Fractional Calculus and Applied Analysis;2024-05-16
2. Forecasting the Performance of the Energy Sector at the Saudi Stock Exchange Market by Using GBM and GFBM Models;Journal of Risk and Financial Management;2024-04-28
3. Innovating and Pricing Carbon-Offset Options of Asian Styles on the Basis of Jump Diffusions and Fractal Brownian Motions;Mathematics;2023-08-21
4. Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets;Technological Forecasting and Social Change;2023-05
5. FORECASTING EXCHANGE RATE OF SAR/CNY BY INCORPORATING MEMORY AND STOCHASTIC VOLATILITY INTO GBM MODEL;Advances and Applications in Statistics;2023-02-23
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