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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

A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice

Rebonato, Riccardo; Joshi, Mark - In: International journal of theoretical and applied finance 5 (2002) 7, pp. 667-694

Persistent link: https://www.econbiz.de/10001743233

Exchange options under clustered jump dynamics

Ma, Yong; Pan, Dongtao; Wang, Tianyang - In: Quantitative finance 20 (2020) 6, pp. 949-967

Persistent link: https://www.econbiz.de/10012262652

Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives

Pellegrino, Tommaso - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10012271009

The forward smile in local-stochastic volatility models

Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10011689675

Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates

Ahlip, Rehez; Rutkowski, Marek - In: The European journal of finance 22 (2016) 7/9, pp. 551-571

Persistent link: https://www.econbiz.de/10011619055

Jumps and Stochastic Volatility : Exchange Rate Processes Implicit in thePHLX Deutschemark Options

Bates, David S. - 1993

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

Persistent link: https://www.econbiz.de/10012474344

A Shannon Wavelet Method for Pricing Foreign Exchange Options under the Heston Multi-Factor CIR Model

Berthe, Edouard - 2017

We present a robust and highly efficient Shannon wavelet pricing method for plain-vanilla foreign exchange European options under the jump-extended Heston model with multi-factor CIR interest rate dynamics. Under a Monte Carlo and partial differential equation hybrid computational framework, the...

Persistent link: https://www.econbiz.de/10012948314

On the Forward Smile

Roos, Thomas - 2020

options for a family of stochastic volatility models with arbitrary local volatility component and time dependent (piecewise …

Persistent link: https://www.econbiz.de/10012848408

Expansion Method for Pricing Foreign Exchange Options Under Stochastic Volatility and Interest Rates

Nagami, Kenji - 2019

respect to the volatility of volatility, then uses it to price options in the stochastic volatility model. In this paper, we … apply their method to the stochastic volatility model with stochastic interest rates, and present the expansion formula for …

Persistent link: https://www.econbiz.de/10012864085