Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching

DOI10.1093/imaman/dpab013OpenAlexW3162855508MaRDI QIDQ5065589

Wen-Ting Chen, Xin-Jiang He

Publication date: 22 March 2022

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpab013

zbMATH Keywords

regime switchingempirical studyclosed-form analytical solutionsubject classificationforeign exchange optionsAMS(MOS)Heston-Cox-Ingersoll-Ross hybrid model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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