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Pricing currency derivatives with Markov-modulated Lévy dynamics · Study

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ArticlePricing currency derivatives with Markov-modulated Lévy dynamics

Anatoliy Swishchuk2014

Article2014

Pricing currency derivatives with Markov-modulated Lévy dynamics

Anatoliy Swishchuk · Maksym Tertychnyi · Robert James Elliott

23 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2002A Jump-Diffusion Model for Option Pricing 1998Arbitrage Theory in Continuous Time 1997The Market Model of Interest Rate Dynamics 1983Foreign currency option values

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2007An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Ratesarticle · 12 shared references 2019Stochastic Differential Equationschapter · 9 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2003The Term Structure of Simple Forward Rates with Jump Riskarticle · 8 shared references 2008A game theoretic approach to option valuation under Markovian regime-switching modelsarticle · 8 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 7 shared references

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Year2014

Typearticle

Published2014-05-20

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2014.05.005

openalex_workW2034415220

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