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  • Search: subject:"forward characteristic function"
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Year of publication
Subject
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Foreign-exchange (FX) 1 Forward characteristic function 1 Heston model 1 Liquidity 1 Liquidität 1 Nonlinearity 1 Option pricing theory 1 Optionspreistheorie 1 Regime switching 1 Stochastic liquidity 1 Stochastic process 1 Stochastischer Prozess 1 Swap 1 Variance/volatility swaps 1 Volatility 1 Volatilität 1 affne diffusion 1 effcient calibration 1 forward characteristic function 1 hybrids 1 interest rate smile 1 stochastic interest rates 1 stochastic volatility 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Grzelak, Lech 1 He, Xin-Jiang 1 Lin, Sha 1 Oosterlee, Kees 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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MPRA Paper 1 The North American journal of economics and finance : a journal of financial economics studies 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
He, Xin-Jiang; Lin, Sha - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014483995
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Cover Image
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech; Oosterlee, Kees - Volkswirtschaftliche Fakultät, … - 2010
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of...
Persistent link: https://www.econbiz.de/10008587838
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