Foreign exchange options under stochastic volatility and stochastic interest rates
Year of publication: |
2008
|
---|---|
Authors: | Ahlip, Rehez |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 11.2008, 3, p. 277-294
|
Subject: | Währungsderivat | Currency derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
-
Option pricing: channels, target zones and sideways markets
Kakushadze, Zura, (2020)
-
Pricing foreign currency options with stochastic volatility
Melino, Angelo, (1988)
-
Return, trading volume, and market depth in currency futures markets
Cheng, Ai-ru Meg, (2008)
- More ...
-
Forward start options under stochastic volatility and stochastic interest rates
Ahlip, Rehez, (2009)
-
Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez, (2015)
-
Forward start options under Heston affine jump-diffusions and stochastic interest rate
Ahlip, Rehez, (2021)
- More ...