SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing currency derivatives with Markov-modulated Lévy dynamics
16 references·1 citing·34 second hop
Pricing currency derivatives with Markov-modulated Lévy dynamics (2014)Pricing currency derivatives with Markov-…STochastic Modeling of Electricity and Related Markets (2008)STochastic Modeling of Electr…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …LIBOR and swap market models and measures (1997)LIBOR and swap market models …Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)Closed Form Solutions for Ter…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Pricing foreign currency options under stochastic interest rates (1991)Pricing foreign currency opti…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…STOCHASTIC CALCULUS AND APPLICATIONS (1983)STOCHASTIC CALCULUS AND APPLI…Foreign currency option values (1983)Foreign currency option valuesOption pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Option pricing in a regime switching stochastic volatility model (2018)Option pricing in a regime sw…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Does Stock Market Volatility Change Over Time? (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Behavior of Stock-Market Prices (1965)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Pricing American-style securities using simulation (1997)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Moment explosions in stochastic volatility models (2006)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Carry Trades and Global Foreign Exchange Volatility (2012)Alternative models for stock price dynamics (2003)
this work references cited by second hop

References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1983Foreign currency option values1,078 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1983STOCHASTIC CALCULUS AND APPLICATIONS480 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1991Pricing foreign currency options under stochastic interest rates349 cited
  • 2008STochastic Modeling of Electricity and Related Markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

307 cited

Cited by

  • 2018Option pricing in a regime switching stochastic volatility model22 cited