Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method
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Cited by:
- Andrey Itkin & Fazlollah Soleymani, 2019. "Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery," Papers 1912.08713, arXiv.org.
- Villamor, Enrique & Olivares, Pablo, 2024. "Pricing exchange options under stochastic correlation," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
- Gholamreza Farahmand & Taher Lotfi & Malik Zaka Ullah & Stanford Shateyi, 2023. "Finding an Efficient Computational Solution for the Bates Partial Integro-Differential Equation Utilizing the RBF-FD Scheme," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
- Malik Zaka Ullah & Fouad Othman Mallawi & Mir Asma & Stanford Shateyi, 2022. "On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model," Mathematics, MDPI, vol. 10(16), pages 1-13, August.
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This paper has been announced in the following NEP Reports:- NEP-CMP-2019-03-11 (Computational Economics)
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