Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Rehez Ahlip & Laurence A. F. Park & Ante Prodan, 2017. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-30, March.
More about this item
KeywordsCurrency options; Heath–Jarrow–Morton model; Double exponential jump diffusion; Esscher transform; Markov chain;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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