FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility
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DOI: 10.1016/j.amc.2014.11.040
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Cited by:
- Ying Chang & Yiming Wang & Sumei Zhang, 2021. "Option Pricing under Double Heston Jump-Diffusion Model with Approximative Fractional Stochastic Volatility," Mathematics, MDPI, vol. 9(2), pages 1-10, January.
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Keywords
FX options; Mean reversion; Jump; Stochastic volatility; Attari formula;All these keywords.
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