Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
type: Item
instance of: scholarly article
title: Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
zbMATH Open document ID: 1416.91369
author: Shouting Chen
author: Xun-Di Diao
author: Ai-lin Zhu
published in: Acta Mathematicae Applicatae Sinica. English Series
publication date: 2018-01-19T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6827825
zbMATH Keywords: spot foreign exchange rate
zbMATH Keywords: regime switching
zbMATH Keywords: jump-diffusion processes
zbMATH Keywords: minimal martingale measure
zbMATH Keywords: European currency options
zbMATH Keywords: pricing and hedging strategy
MaRDI profile type: Publication
full work available at URL: s10255-017-0704-z
OpenAlex ID: W2768983088
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DOI: 10.1007/S10255-017-0704-Z
description: scientific article; zbMATH DE number 6827825