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~isPartOf:"Journal of Banking & Finance"
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Pricing currency derivatives under the
benchmark
approach
Baldeaux, Jan
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Journal of Banking & Finance
53
(
2015
)
C
,
pp. 34-48
currencies and find that the risk neutral approach fails for the calibrated model, while the
benchmark
approach
still works. …
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