On computing the price of financial instruments in foreign currency

DOI10.1134/S0005117918040094zbMath1397.91570OpenAlexW2797927402MaRDI QIDQ1796242

Roman V. Ivanov

Publication date: 17 October 2018

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117918040094

zbMATH Keywords

hypergeometric functionPoisson processcall optionvariance gamma processprice of derivative

Mathematics Subject Classification ID

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

Cites Work

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