Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470)
From MaRDI portal
scientific article; zbMATH DE number 6938617
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model |
scientific article; zbMATH DE number 6938617 |
Statements
Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (English)
0 references
18 September 2018
0 references
foreign exchange options
0 references
Heston's model
0 references
CIR model
0 references
jump-diffusion model
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
