A Stochastic Volatility Model for Risk-Reversals in Foreign Exchange

It is a widely recognized fact that risk-reversals play a central role in the pricing of derivatives in foreign exchange markets. It is also known that the values of risk-reversals vary stochastically with time. In this paper we introduce a stochastic volatility model with jumps and local volatility, defined on a continuous time lattice, which provides a way of modeling this kind of risk using numerically stable and relatively efficient algorithms

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Year of publication:	2011
Authors:	Albanese, Claudio ; Mijatović, Aleksandar
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Wechselkurs \| Exchange rate \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory

Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 877-899, 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2009 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014200378