Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Year of publication: |
November 2017
|
---|---|
Authors: | Itkin, Andrey |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 5/6, p. 485-519
|
Subject: | Stochastic correlation | FX options | stochastic skew | SLV models | correlated jumps | 3D PIDE | finite-difference | forward equations | fully implicit splitting scheme | unconditional stability | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
-
Upside and downside correlated jump risk premia of currency options and expected returns
He, Jie-Cao, (2023)
-
Capturing implied correlation skew from options prices via multiscale stochastic volatility models
Pellegrino, T., (2020)
-
Escobar, Marcos, (2014)
- More ...
-
Itkin, Andrey, (2010)
-
New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey, (2013)
-
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey, (2012)
- More ...