Pricing of FX options in the MPT/CIR jump-diffusion model...

Physica A: Statistical Mechanics and its Applications 2019 / 10 Vol. 532

Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility

Kang, Jian-hao, Yang, Ben-zhang, Huang, Nan-jing
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Volume:
532
Journal:
Physica A: Statistical Mechanics and its Applications
DOI:
10.1016/j.physa.2019.121871
Date:
October, 2019
File:
PDF, 982 KB
2019
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