Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework

Author:

Ascione GiacomoORCID,Mehrdoust Farshid,Orlando GiuseppeORCID,Samimi Oldouz

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference71 articles.

1. Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates;Ahlip;Quant. Finance,2013

2. Mixed diffusion-jump process modeling of exchange rate movements;Akgiray;Rev. Econ. Stat.,1988

3. Lévy Processes and Stochastic Calculus;Applebaum,2009

4. Stochastic Simulation: Algorithms and Analysis;Asmussen,2007

5. Empirical performance of alternative option pricing models;Bakshi;J. Finance,1997

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