A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (Q2351280): Difference between revisions

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+An E-ARCH model for the term structure of implied volatility of FX options
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+THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
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