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  • Search: subject:"stochastic skew"
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Year of publication
Subject
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Option pricing theory 3 Optionspreistheorie 3 Stochastic process 3 Stochastischer Prozess 3 Volatility 3 Volatilität 3 stochastic skew 3 3D PIDE 1 Correlation 1 Cross FX options 1 Derivat 1 Derivative 1 Estimation 1 Estimation theory 1 FX options 1 Korrelation 1 Mean Reversion 1 Mean reversion 1 Multifactor model 1 Option trading 1 Optionsgeschäft 1 SLV models 1 Schätztheorie 1 Schätzung 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic correlation 1 Stochastic skew 1 Stochastic volatility 1 Volatility surface 1 correlated jumps 1 currency options 1 finite-difference 1 forward equations 1 forward-start 1 fully implicit splitting scheme 1 mean reversion 1 multifactor stochastic volatility 1 time-changed Levy processes 1 unconditional stability 1
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Online availability
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Undetermined 3
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3 Undetermined 1
Author
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Carr, Peter 1 Itkin, Andrey 1 Marabel Romo, Jacinto 1 Wu, Liuren 1 Yoon, Jungyeon 1
Institution
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EconWPA 1
Published in...
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Applied mathematical finance 1 Asia-Pacific journal of financial studies 1 Finance 1 The European journal of finance 1
Source
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ECONIS (ZBW) 3 RePEc 1
Showing 1 - 4 of 4
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Pricing volatility options under stochastic skew with application to the VIX index
Marabel Romo, Jacinto - In: The European journal of finance 23 (2017) 4/6, pp. 353-374
Persistent link: https://www.econbiz.de/10011736265
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Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
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Constructing volatility surfaces for cross FX rates
Yoon, Jungyeon - In: Asia-Pacific journal of financial studies 45 (2016) 4, pp. 646-665
Persistent link: https://www.econbiz.de/10011630767
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Stochastic Skew in Currency Options
Carr, Peter; Wu, Liuren - EconWPA - 2004
We document the behavior of over-the-counter currency option prices across moneyness, maturity, and calendar time on two of the most actively traded currency pairs over the past eight years. We find that the risk-neutral distribution of currency returns is relatively symmetric on average....
Persistent link: https://www.econbiz.de/10005413063
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