Pricing foreign exchange options under intervention by absorption modeling

DOI10.1007/s10690-016-9210-1zbMath1418.91535OpenAlexW2264636937MaRDI QIDQ1627677

Taiga Saito

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-016-9210-1

zbMATH Keywords

optionsabsorptionforeign exchangeintervention

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Mathematical methods for financial markets.
• Pricing Options With Curved Boundaries¹
• Pricing Barrier Options with Time–Dependent Coefficients
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Pricing foreign exchange options under intervention by absorption modeling