Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Leslie Ng
| Year of publication: |
2015
|
|---|---|
| Authors: | Ng, Leslie |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 18.2014/15, 3, p. 59-98
|
| Subject: | quasi-Gaussian interest rate model | multicurrency model | stochastic volatility | foreign exchange option approximation | calibration | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Zins | Interest rate | Zinsderivat | Interest rate derivative |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10011298899