The pricing of foreign currency options under jump-diffusion processes
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Reference35 articles.
1. International Portfolio Choice and Corporation Finance: A Synthesis
2. Option Pricing When Jump Risk Is Systematic
3. Jump-Diffusion Processes and the Term Structure of Interest Rates
4. The impact of jump risks on nominal interest rates and foreign exchange rates
5. Mixed Diffusion-Jump Process Modeling of Exchange Rate Movements
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1. Foreign exchange option pricing under regime switching with asymmetrical jumps;Finance Research Letters;2021-07
2. Valuation and empirical analysis of currency options;International Review of Economics & Finance;2020-03
3. Markov modulated jump-diffusions for currency options when regime switching risk is priced;International Journal of Financial Engineering;2019-12
4. Entropic Dynamics of Exchange Rates and Options;Entropy;2019-06-13
5. Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks;The North American Journal of Economics and Finance;2017-11
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