FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility

DOI10.1016/J.AMC.2014.11.040zbMath1328.91282OpenAlexW1990007423MaRDI QIDQ902968

Yinhui Zhong, Qunfang Bao, Sheng-Hong Li

Publication date: 4 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.11.040

zbMATH Keywords

stochastic volatilitymean reversionjumpAttari formulaFX options

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Pricing of derivatives on mean-reverting assets
• Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
• Turbo warrants under stochastic volatility
• Saddlepoint methods for option pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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