Pricing currency derivatives under the benchmark approach
Year of publication: |
2015
|
---|---|
Authors: | Baldeaux, Jan ; Grasselli, Martino ; Platen, Eckhard |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 53.2015, p. 34-48
|
Subject: | Forex market | Smile and skew of vanilla options | 3/2 Stochastic volatility model | Strict local martingale | Model calibration | Benchmark approach | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Benchmarking | Devisenmarkt | Foreign exchange market | Währungsderivat | Currency derivative | Wechselkurs | Exchange rate | Portfolio-Management | Portfolio selection |
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