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Zapiski Nauchnykh Seminarov POMI, 2008, Volume 361, Pages 5–28 (Mi znsl2177)  
Arbitrage-free option prices on global markets

Ya. Belopol'skaya, S. Filimonova

St. Petersburg State University of Architecture and Civil Engineering
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Abstract: We consider explicit expressions for pricing straddles, strangle and risk reversals on currencies assuming two versions of market dynamics, namely the Garman–Kohlhagen model and the Heston model. The expressions derived in the paper are applicable for analytical and numerical pricing and for the model calibration to market data. Bibl. – 14 titles.
Received: 06.11.2008
English version:
Journal of Mathematical Sciences (New York), 2009, Volume 159, Issue 3, Pages 281–294
DOI: https://doi.org/10.1007/s10958-009-9439-6
Bibliographic databases:
UDC: 519.21
Language: Russian
Citation: Ya. Belopol'skaya, S. Filimonova, “Arbitrage-free option prices on global markets”, Probability and statistics. Part 13, Zap. Nauchn. Sem. POMI, 361, POMI, St. Petersburg, 2008, 5–28; J. Math. Sci. (N. Y.), 159:3 (2009), 281–294
Citation in format AMSBIB
\Bibitem{BelFil08}
\by Ya.~Belopol'skaya, S.~Filimonova
\paper Arbitrage-free option prices on global markets
\inbook Probability and statistics. Part~13
\serial Zap. Nauchn. Sem. POMI
\yr 2008
\vol 361
\pages 5--28
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl2177}
\zmath{https://zbmath.org/?q=an:1177.91127}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2009
\vol 159
\issue 3
\pages 281--294
\crossref{https://doi.org/10.1007/s10958-009-9439-6}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-67349110444}
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