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Dynamics of realized volatilities and correlations : an empirical study
Ferland, René; Lalancette, Simon - In: Journal of banking & finance 30 (2006) 7, pp. 2109-2130
Persistent link: https://www.econbiz.de/10003339530
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Do lead-lag effects affect derivative pricing?
Korn, Olaf; Uhrig-Homburg, Marliese - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 34-51
Persistent link: https://www.econbiz.de/10003611417
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Stochastic skew in currency options
Carr, Peter; Wu, Liuren - In: Journal of financial economics 86 (2007) 1, pp. 213-247
Persistent link: https://www.econbiz.de/10003546310
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Markov-modulated jump : diffusions for currency option pricing
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 461-469
Persistent link: https://www.econbiz.de/10003981142
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Exchange options hedging
Sebehela, Tumellano - In: The IUP journal of financial risk management : IJFRM 9 (2012) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10009569540
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Derivative pricing based on the exchange rate in a target zone with realignment
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 945-956
Persistent link: https://www.econbiz.de/10009380992
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Pricing currency options with intra-daily implied volatility
Hoque, Ariful; Kalev, Petko S. - In: Australasian accounting business and finance journal : AABF 9 (2014) 1, pp. 43-56
Persistent link: https://www.econbiz.de/10010520230
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
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Foreign exchange option pricing in the currency cycle with jump risks
Lin, Chien-Hsiu; Lin, Shih-kuei; Wu, An-Chi - In: Review of quantitative finance and accounting 44 (2015) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10011333144