Pricing European continuous-installment currency options with mean-reversion
Author:
Funder
National Research Foundation of Korea
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference38 articles.
1. Laplace transforms and installment options;Alobaidi;Mathematical Models & Methods in Applied Sciences,2004
2. Valuation and hedging strategy of currency options under regime-switching jump-diffusion model;Chen;Acta Mathematicae Applicatae Sinica, English Series,2017
3. An integral representation approach for valuing American-style installment options with continuous payment plan;Ciurlia;Nonlinear Analysis. Theory, Methods & Applications,2011
4. Valuation of European continuous-installment options;Ciurlia;Computers & Mathematics with Applications,2011
5. American continuous-installment options of barrier type;Deng;Journal of Systems Science and Complexity,2014
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1. A finite element method for pricing of continuous-installment options under a Markov-modulated model: existence, uniqueness, and stability of solutions;Soft Computing;2023-06-15
2. Does the regional proximity lead to exchange rate spillover?;Journal of International Financial Markets, Institutions and Money;2022-11
3. On the exercise of American quanto options;The North American Journal of Economics and Finance;2022-11
4. Pricing European and American Installment Options;Mathematics;2022-09-25
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