Pricing currency options under two-factor Markov-modulated stochastic volatility models
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- Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.
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More about this item
KeywordsCurrency options Two-factor stochastic volatility Regime switching Esscher transform Decomposition;
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