Pricing and hedging problem of foreign currency option with higher borrowing rate (Q394479)
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scientific article; zbMATH DE number 6250665
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging problem of foreign currency option with higher borrowing rate |
scientific article; zbMATH DE number 6250665 |
Statements
Pricing and hedging problem of foreign currency option with higher borrowing rate (English)
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27 January 2014
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backward stochastic differential equation
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Malliavin calculus
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portfolio strategy
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pricing
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