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Persistent link: https://www.econbiz.de/10011403778
This paper extends the Wiener-Ito chaos expansion approach proposed by Funahashi and Kijima (2013) to an equity-interest-rate hybrid model for the pricing of European contingent claims with special emphasis on calibration to the option markets. Our model can capture the volatility skew and smile...
Persistent link: https://www.econbiz.de/10013033933