A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
Year of publication: |
2009
|
---|---|
Authors: | ALBANESE, CLAUDIO ; MIJATOVIĆ, ALEKSANDAR |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 12.2009, 06, p. 877-899
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Stochastic volatility | volatility surface dynamics | foreign exchange | risk-reversals | continuous-time Markov chains |
-
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V., (2018)
-
Haastrecht, Alexander van, (2011)
-
DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
BOYARCHENKO, MITYA, (2011)
- More ...
-
VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS
LO, HARRY, (2011)
-
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Mijatović, Aleksandar, (2012)
-
Correction note for ‘The large-maturity smile for the Heston model’
Bernard, Carole, (2013)
- More ...