The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities (Q5363227): Difference between revisions
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Latest revision as of 19:59, 5 March 2024
scientific article; zbMATH DE number 6786570
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities |
scientific article; zbMATH DE number 6786570 |
Statements
The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities (English)
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5 October 2017
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stochastic volatility
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intrinsic currency values
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FX options
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SABR
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SticVol
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