Pricing currency derivatives under the benchmark approach
Jan Baldeaux; Martino Grasselli; Eckhard Platen
| 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 | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Martingal | Martingale | Devisenmarkt | Foreign exchange market | Währungsderivat | Currency derivative | Benchmarking | Optionsgeschäft | Option trading | Wechselkurs | Exchange rate |
| 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/10011377682