Pricing currency derivatives under the benchmark approach
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DOI: 10.1016/j.jbankfin.2014.11.018
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- Dietmar Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Papers 1705.03929, arXiv.org.
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"Calibration to FX triangles of the 4/2 model under the benchmark approach,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.
- Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.
- Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021.
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- Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016.
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Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1147-1164, July.
- Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2015. "Recovering the Real-World Density and Liquidity Premia From Option Data," Research Paper Series 363, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kevin Fergusson & Eckhard Platen, 2017. "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers 1711.02808, arXiv.org.
- Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018.
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- Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
- Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
- Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
- Антонова Любовь Александровна & Шиндина Татьяна Александровна, 2015. "Анализ Результатов Организации Валютного Контроля На Примере Челябинской Области," Bulletin of the South Ural State University. Series: Economics and management Вестник Южно-Уральского государственного университета. Серия: Экономика и менеджмент, CyberLeninka;Государственное образовательное учреждение высшего профессионального образования «Южно-Уральский государственный университет», vol. 9(1), pages 81-87.
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More about this item
Keywords
Forex market; Smile and skew of vanilla options; 3/2 Stochastic volatility model; Strict local martingale; Model calibration; Benchmark approach;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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