Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (Q1690559)
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scientific article; zbMATH DE number 6827825
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation and hedging strategy of currency options under regime-switching jump-diffusion model |
scientific article; zbMATH DE number 6827825 |
Statements
Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (English)
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19 January 2018
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spot foreign exchange rate
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regime switching
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jump-diffusion processes
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minimal martingale measure
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European currency options
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pricing and hedging strategy
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