Local Volatility Pricing Models for Long-dated FX Derivatives
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- Griselda Deelstra & Grégory Rayée, 2013. "Local Volatility Pricing Models for Long-Dated FX Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(4), pages 380-402, September.
References listed on IDEAS
- Alexander van Haastrecht & Antoon Pelsser, 2011. "Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 665-691.
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- Fr'ed'eric Bossens & Gr'egory Ray'ee & Nikos S. Skantzos & Griselda Deelstra, 2009. "Vanna-Volga methods applied to FX derivatives : from theory to market practice," Papers 0904.1074, arXiv.org, revised May 2010.
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"On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
- Recchioni, M.C. & Sun, Y., 2016. "An explicitly solvable Heston model with stochastic interest rate," European Journal of Operational Research, Elsevier, vol. 249(1), pages 359-377.
- Deelstra, Griselda & Rayée, Grégory, 2013.
"Pricing Variable Annuity Guarantees in a local volatility framework,"
Insurance: Mathematics and Economics,
Elsevier, vol. 53(3), pages 650-663.
- Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
- Neeraj J. Gupta & Mark Kurt & Reilly White, 2016. "The Buffett critique: volatility and long-dated options," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(3), pages 524-537, July.
- Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger, 2015. "Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets," Papers 1501.06084, arXiv.org, revised Oct 2016.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-10 (All new papers)
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