Markov-modulated jump-diffusions for currency option pricing
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Publication:659253
DOI10.1016/j.insmatheco.2010.01.003zbMath1231.91425OpenAlexW3123942782MaRDI QIDQ659253
Xuewei Yang, Li Jun Bo, Yong Jin Wang
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.003
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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