Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
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Publication:1278069
DOI10.1016/S0377-2217(95)00366-5zbMath0947.91037OpenAlexW2021613238MaRDI QIDQ1278069
Niklas Ekvall, Bertil Näslund, L. Peter Jennergren
Publication date: 22 April 1999
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0377-2217(95)00366-5
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Quasi-closed-form solution and numerical method for currency option with uncertain volatility model ⋮ Efficient hedging currency options in fractional Brownian motion model with jumps ⋮ Pricing currency options in the mixed fractional Brownian motion ⋮ FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility ⋮ Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility ⋮ Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process ⋮ Pricing currency option in a mixed fractional Brownian motion with jumps environment ⋮ Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option ⋮ Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs ⋮ Option pricing with mean reversion and stochastic volatility ⋮ CDS pricing with fractional Hawkes processes
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