A multivariate stochastic volatility model with applications in the foreign exchange market
Year of publication: |
2018
|
---|---|
Authors: | Escobar, Marcos ; Gschnaidtner, Christoph |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 21.2018, 1, p. 1-43
|
Subject: | Calibration | FX options | Multivariate models | PCSV model | Stochastic volatility models | Triangular relation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Wechselkurs | Exchange rate | Devisenmarkt | Foreign exchange market | Multivariate Analyse | Multivariate analysis | US-Dollar | US dollar | Schätzung | Estimation | Optionspreistheorie | Option pricing theory |
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