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most citedModeling Volatility of Disaster-Affected Populations: A Non-Homogeneous Geometric-Skew Brownian Motion Approach

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math.PR2022

Foreign exchange options on Heston-CIR model under Lévy process framework

Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando +1

In this paper, we consider the Heston-CIR model with Lévy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of pr…