Local volatility pricing models for long-dated FX derivatives
Griselda Deelstra & Grégory Rayée
| Year of publication: |
2013
|
|---|---|
| Authors: | Deelstra, Griselda ; Rayée, Grégory |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 3/4, p. 380-402
|
| Subject: | Local volatility | stochastic volatility | foreign exchange | stochastic interest rates | calibration | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Derivat | Derivative | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010187656