Currency option pricing with Wishart process (Q1758411)

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Currency option pricing with Wishart process
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    title
    Currency option pricing with Wishart process (English)
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    author
    Kwai Sun Leung
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    Hoi Ying Wong
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    Hon Yip Ng
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    publication date
    9 November 2012
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    zbMATH DE Number
    6104519
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    zbMATH Keywords
    exchange rate
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    mean reversion
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    option pricing
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    stochastic skew
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    stochastic volatility
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    Wishart process
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