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Volatility and the cross-section of returns on FX options

Fullwood, Jonathan; James, Jessica; Marsh, Ian - In: Journal of financial economics 141 (2021) 3, pp. 1262-1284

Persistent link: https://www.econbiz.de/10012873205

Common risk factors in cross-sectional FX options returns

So, Raymond H. Y.; Driouchi, Tarik - In: Review of finance : journal of the European Finance … 28 (2024) 3, pp. 897-944

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Modelling electricity swaps with stochastic forward premium models

Blanco, Iván; Peña Sánchez de Rivera, Juan Ignacio; … - In: The energy journal 39 (2018) 2, pp. 1-33

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Do foreign exchange return regressions convey useful information on return predictability?

Moon, Seongman; Velasco, Carlos - In: Revista de economía aplicada : REA 25 (2017) 73, pp. 5-19

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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

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Option pricing: channels, target zones and sideways markets

Kakushadze, Zura - In: Bulletin of applied economics 7 (2020) 2, pp. 25-33

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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

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48

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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

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Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate

Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278

Persistent link: https://www.econbiz.de/10011312416