Pricing foreign equity option with stochastic volatility
type: Item
instance of: scholarly article
title: Pricing foreign equity option with stochastic volatility
zbMATH Open document ID: 1400.91612
author: Qi Sun
author: Weidong Xu
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6977366
zbMATH Keywords: exchange rate
zbMATH Keywords: foreign equity option
zbMATH Keywords: Fourier transform
zbMATH Keywords: time-changed Lévy process
MaRDI profile type: Publication
full work available at URL: j.physa.2015.05.059
OpenAlex ID: W2204177094
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DOI: 10.1016/J.PHYSA.2015.05.059
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description: scientific article; zbMATH DE number 6977366