Local volatility pricing models for long-dated FX derivatives
Year of publication: |
2013
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---|---|
Authors: | Deelstra, Griselda ; Rayée, Grégory |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 3/4, p. 380-402
|
Subject: | Local volatility | stochastic volatility | foreign exchange | stochastic interest rates | calibration | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Derivat | Derivative | Wechselkurs | Exchange rate |
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