Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing
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References listed on IDEAS
- Carr, Peter & Wu, Liuren, 2007.
"Stochastic skew in currency options,"
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Cited by:
- Andrey Itkin, 2017.
"Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(6), pages 485-519, November.
- Andrey Itkin, 2017. "Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps," Papers 1701.02821, arXiv.org, revised Jan 2017.
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This paper has been announced in the following NEP Reports:- NEP-FMK-2014-04-29 (Financial Markets)
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