Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility

DOI10.1016/j.physa.2019.121871OpenAlexW2951368391WikidataQ127653847 ScholiaQ127653847MaRDI QIDQ2163921

Jian-hao Kang, Ben-Zhang Yang, Nan-Jing Huang

Publication date: 11 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121871

zbMATH Keywords

jump-diffusion modelCIR modelapproximative fractional stochastic volatilityMPT modelpricing of FX option

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical mechanics, structure of matter (82-XX)

Related Items (2)

Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients ⋮ Valuation of European crude oil options with co-jump diffusions and stochastic interest rate

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