The time-dependent FX-SABR model : efficient calibration based on effective parameters
Anthonie W. van der Stoep, Lech A. Grzelak and Cornelis W. Oosterlee
| Year of publication: |
2015
|
|---|---|
| Authors: | Stoep, Anthonie W. van der ; Grzelak, Lech A. ; Oosterlee, Cornelis W. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 6, p. 1-38
|
| Subject: | Time-dependent SABR | FX | calibration | effective parameters | local volatility | Monte Carlo | path-dependent | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403947