Pricing European continuous-installment currency options with mean-reversion
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DOI: 10.1016/j.najef.2021.101605
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Cited by:
- Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
- Joanna Goard & Mohammed AbaOud, 2022. "Pricing European and American Installment Options," Mathematics, MDPI, vol. 10(19), pages 1-27, September.
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Keywords
Currency option; Installment option; Mean-reversion; Optimal stopping problem; Free boundary; Mellin transform;All these keywords.
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