Alternative Models for FX: Pricing Double Barrier Options in Regime-Switching Lévy Models with Memory

By Svetlana Boyarchenko, Sergei Levendorskiĭ

Published 2024-02-26

Everscope rating

1454

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Regime-switching Lévy models with memory. Problem types: Option Pricing, Time Series Modeling.

arXiv:2402.16724 · Paper rankings

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