An E-ARCH model for the term structure of implied volatility of FX options (Q4994410): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/13504869700000001 / rank | |||
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| Property / cites work: Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model / rank | |||
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Latest revision as of 00:19, 26 July 2024
scientific article; zbMATH DE number 7360817
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An E-ARCH model for the term structure of implied volatility of FX options |
scientific article; zbMATH DE number 7360817 |
Statements
An E-ARCH model for the term structure of implied volatility of FX options (English)
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18 June 2021
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currency options
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term structure of volatility
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ARCH
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E-ARCH
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