Foreign exchange options on Heston-CIR model under L\'{e}vy process framework

DOI10.1016/j.amc.2023.127851zbMath1511.60068arXiv2208.04030MaRDI QIDQ6407274

Giuseppe Orlando, Oldouz Samimi, Giacomo Ascione, Farshid Mehrdoust

Publication date: 8 August 2022

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