Pricing and hedging problem of foreign currency option with higher borrowing rate
type: Item
instance of: scholarly article
title: Pricing and hedging problem of foreign currency option with higher borrowing rate
zbMATH Open document ID: 1278.91130
author: Zongyuan Huang
author: Zhen Wu
author: Li Chen
published in: Journal of Systems Science and Complexity
publication date: 2014-01-27T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6250665
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: portfolio strategy
zbMATH Keywords: pricing
MaRDI profile type: Publication
full work available at URL: s11424-013-1018-8
OpenAlex ID: W2062962229
cites work: The pricing of options and corporate liabilities
cites work: Q4905685
cites work: Backward Stochastic Differential Equations in Finance
cites work: Adapted solution of a backward stochastic differential equation
cites work: Q4842684
DOI: 10.1007/S11424-013-1018-8
description: scientific article; zbMATH DE number 6250665