欢迎您!
东篱公司
退出
申报数据库
申报指南
立项数据库
成果数据库
期刊论文
会议论文
著 作
专 利
项目获奖数据库
位置:
成果数据库
>
期刊
> 期刊详情页
Derivative pricing based on the exchange rate in a target zone with realignment
ISSN号:0219-0249
期刊名称:International Journal of Theoretical and Applied F
时间:2011.9.9
页码:945-956
相关项目:基于反射扩散模式的汇率风险和违约风险研究
作者:
Lijun Bo|Yongjin Wang|Xuewei Yang|
同期刊论文项目
基于反射扩散模式的汇率风险和违约风险研究
期刊论文 20
同项目期刊论文
Levy risk model with two-sided jumps and a barrier dividend strategy
On a stochastic interacting model with stepping-stone noises
A note on stability in distribution of Markov-modulated stochastic differential equations with refle
Mean first passage times of two-dimensional processes with jumps
Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
First passage times of constant-elasticity-of-variance processes with two-sided reflecting barriers
Stochastic portfolio optimization with default risk
On the default probability in a regime-switching regulated market
Exponential change of measure applied to term structures of interest rates and exchange rates
Optimal portfolio and consumption selection with default risk
Large deviation for the nonlocal Kuramoto-Sivashinsky SPDE
Kernel-Correlated L,vy Field Driven Forward Rate and Application to Derivative Pricing
Levy risk model with two-sided jumps and a barrier dividend strategy (vol 50, pg 280, 2012)
First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
Bilateral credit valuation adjustment for large credit derivatives portfolios
On the conditional default probability in a regulated market with jump risk
First passage times of reflected generalized ornstein-uhlenbeck processes
FIRST PASSAGE TIMES OF (REFLECTED) ORNSTEIN-UHLENBECK PROCESSES OVER RANDOM JUMP BOUNDARIES