Pricing currency options under two-factor Markov-modulated stochastic volatility models

By Tak Kuen Siu, Hailiang Yang, John W. Lau. 2008

79 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/174a6217811578ab0e9a41d07a0de3570a69ae81

Citations in the corpus

• Markov-Modulated Jump-Diffusions for Currency Option Pricing (2010, unknown): “As a potential future work, we might consider incorporating jump risk into the two-factor model studied in Siu et al. (2008). Comparing the effect of jump risk on the option prices with that of the long-term volatility (described by a hidden Markov chain in Siu et al.”