A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014): Difference between revisions
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Revision as of 09:30, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options |
scientific article |
Statements
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (English)
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20 December 2010
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Lévy processes
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option pricing
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barrier options
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continuous time finance
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credit models
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currency derivatives
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pricing of derivative securities
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quantitative finance
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