A multivariate stochastic volatility model with applications in the foreign exchange market
Marcos Escobar, Christoph Gschnaidtner
| Year of publication: |
2018
|
|---|---|
| Authors: | Escobar, Marcos ; Gschnaidtner, Christoph |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 21.2018, 1, p. 1-43
|
| Subject: | Calibration | FX options | Multivariate models | PCSV model | Stochastic volatility models | Triangular relation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Multivariate Analyse | Multivariate analysis | US-Dollar | US dollar |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-017-9132-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012055729