A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE

DOI10.1142/S0219024909005506MaRDI QIDQ3648639zbMATH OpenOpenAlexFDO

Authors Claudio Albanese, Aleksandar Mijatović

Publication date 27 November 2009

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024909005506

zbMATH Keywords

continuous-time Markov chainsforeign exchangerisk-reversalsstochastic volatilityvolatility surface dynamics

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• On the generation of semigroups of linear operators
• The pricing of options and corporate liabilities
• The Variance Gamma Process and Option Pricing

Cited in

(3)

• A multivariate stochastic volatility model with applications in the foreign exchange market
• Volatility derivatives in market models with jumps
• Continuously monitored barrier options under Markov processes

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