Foreign exchange options on Heston-CIR model under Lévy process framework

DOI10.1016/j.amc.2023.127851OpenAlexW4317693666MaRDI QIDQ2698161

Yanyan Li

Publication date: 21 April 2023

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.04030

zbMATH Keywords

Lévy processesvariance gamma processHeston-CIR modelforeign short interest rates

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Variance gamma (nonlocal) equations

Cites Work

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