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FX smile in the Heston model
Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT …
Persistent link: https://www.econbiz.de/10008663372
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131
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Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874
Persistent link: https://www.econbiz.de/10009708784
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Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998
Persistent link: https://www.econbiz.de/10001301445
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Implied volatilities, stochastic interest rates, and currency futures, options valuation : an empirical investigation
Bhargava, Vivek; Brooks, Robert; Malhotra, Davinder Kumar - In: The European journal of finance 7 (2001) 3, pp. 231-246
Persistent link: https://www.econbiz.de/10001603503
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Stochastic volatility functions implicit in Eurodollar futures options
Bhanot, Karan - In: The journal of futures markets 18 (1998) 6, pp. 605-627
Persistent link: https://www.econbiz.de/10001249194
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On the stationarity of futures hedge ratios
Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303
Persistent link: https://www.econbiz.de/10013443633
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Forward-rate target zones and exchange rate dynamics
Lin, Hwan-chyang - In: Journal of international money and finance 27 (2008) 5, pp. 831-846
Persistent link: https://www.econbiz.de/10003726964
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Stochastic dividend yields and derivatives pricing in complete markets
Lioui, Abraham - In: Review of derivatives research 8 (2005) 3, pp. 151-175
Persistent link: https://www.econbiz.de/10003408019
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The pricing of foreign currency options under jump-diffusion processes
Ahn, Chang-mo; Cho, D. C.; Park, Keehwan - In: The journal of futures markets 27 (2007) 7, pp. 669-695
Persistent link: https://www.econbiz.de/10003493149