Markov-modulated jump-diffusions for currency option pricing
type: Item
instance of: scholarly article
title: Markov-modulated jump-diffusions for currency option pricing
zbMATH Open document ID: 1231.91425
author: Xuewei Yang
author: Lijun Bo
author: Yongjin Wang
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6004712
zbMATH Keywords: spot foreign exchange rate
zbMATH Keywords: rare event
zbMATH Keywords: time-inhomogeneity
zbMATH Keywords: Esscher transform
zbMATH Keywords: currency option
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2010.01.003
OpenAlex ID: W3123942782
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DOI: 10.1016/J.INSMATHECO.2010.01.003
description: scientific article; zbMATH DE number 6004712