Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model

DOI10.1080/1350486X.2014.928227zbMath1396.91710OpenAlexW2151261818MaRDI QIDQ4682470

Marek Rutkowski, Rehez Ahlip

Publication date: 18 September 2018

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

Full work available at URL: https://doi.org/10.1080/1350486x.2014.928227

zbMATH Keywords

jump-diffusion modelCIR modelforeign exchange optionsHeston's model

Mathematics Subject Classification ID

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

Related Items (4)

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models ⋮ Pricing generalized variance swaps under the Heston model with stochastic interest rates

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