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Persistent link: https://www.econbiz.de/10010505183
In this paper, we present a stochastic volatility model with stochastic interest rates in a Foreign Exchange (FX) setting. The instantaneous volatility follows a mean-reverting Ornstein–Uhlenbeck process and is correlated with the exchange rate. The domestic and foreign interest rates are...
Persistent link: https://www.econbiz.de/10005060223