Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Andrey Itkin
| Year of publication: |
November 2017
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|---|---|
| Authors: | Itkin, Andrey |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 5/6, p. 485-519
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| Subject: | Stochastic correlation | FX options | stochastic skew | SLV models | correlated jumps | 3D PIDE | finite-difference | forward equations | fully implicit splitting scheme | unconditional stability | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1409641 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011815291