Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing

DOI10.1080/1350486X.2013.798452zbMath1396.91770OpenAlexW1974279370MaRDI QIDQ4585900

Guanying Wang, Xingchun Wang, Yong Jin Wang

Publication date: 11 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2013.798452

zbMATH Keywords

Esscher transformcurrency optionspot foreign exchange raterare shock

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Catastrophe equity put options with target variance ⋮ Pricing vulnerable options with stochastic volatility ⋮ The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

Cites Work

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