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Implementation of local stochastic volatility model in FX derivatives
Zheng, J.; Yuan, X. - In: Applied quantitative finance, (pp. 57-69). 2017
Persistent link: https://www.econbiz.de/10011794953
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Equilibrium pricing of currency options under a discontinuous model in a two-country economy
Xing, Yu; Yang, Xiaoping - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 185-198
Persistent link: https://www.econbiz.de/10011507471
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Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David - In: International journal of financial engineering 6 (2019) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
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Exchange option pricing under variance gamma-like models
Gardini, Matteo; Sabino, Piergiacomo - In: Applied mathematical finance 29 (2022) 6, pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
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Empirical performance of Black-Scholes and GARCH option pricing models during turbulent times : the Indian evidence
Bhat, Aparna; Arekar, Kirti - In: International journal of economics and finance 8 (2016) 3, pp. 123-136
Persistent link: https://www.econbiz.de/10011447894
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Financial markets' views about the Euro-Swiss Franc floor
Jermann, Urban J. - 2016
Persistent link: https://www.econbiz.de/10011436782
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Currency options, implied interest rates and inflation targeting
Keefe, Helena Glebocki; Rengifo, Erick W. - In: International journal of economics and finance 11 (2019) 2, pp. 119-136
Persistent link: https://www.econbiz.de/10011995167
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Coherent foreign exchange market models
Gnoatto, Alessandro - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011686817
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Cross economic determinants of implied volatility smile dynamics : three major European currency options
Han, Qian; Liang, Jufang; Wu, Boqiang - In: European financial management : the journal of the … 22 (2016) 5, pp. 817-852
Persistent link: https://www.econbiz.de/10011713158
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Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
Ahlip, Rehez; Rutkowski, Marek - In: The European journal of finance 22 (2016) 7/9, pp. 551-571
Persistent link: https://www.econbiz.de/10011619055