A continuous-time model for valuing foreign exchange options

DOI10.1155/2013/635746zbMath1420.91471OpenAlexW2042164447WikidataQ58916477 ScholiaQ58916477MaRDI QIDQ2318921

James J. Kung

Publication date: 16 August 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/635746

zbMATH Keywords

continuous-time modelexchange options valuation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing American bond options using a penalty method
• Convergence analysis of a monotonic penalty method for American option pricing
• Stochastic calculus for finance. II: Continuous-time models.
• Power penalty method for a linear complementarity problem arising from American option valuation
• Stochastic differential equations. An introduction with applications.