Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
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Publication:1690559
DOI10.1007/s10255-017-0704-zzbMath1416.91369OpenAlexW2768983088MaRDI QIDQ1690559
Shou-Ting Chen, Xun-Di Diao, Ai-lin Zhu
Publication date: 19 January 2018
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-017-0704-z
regime switchingjump-diffusion processesminimal martingale measurespot foreign exchange rateEuropean currency optionspricing and hedging strategy
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Cites Work
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