Calibration to FX triangles of the 4/2 model under the benchmark approach (Q2145688)
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scientific article; zbMATH DE number 7544255
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| English | Calibration to FX triangles of the 4/2 model under the benchmark approach |
scientific article; zbMATH DE number 7544255 |
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Calibration to FX triangles of the 4/2 model under the benchmark approach (English)
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17 June 2022
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benchmark approach
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Fourier inversion
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stochastic volatility
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forex
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0.7630519270896912
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0.7625908255577087
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0.7337371110916138
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0.7295977473258972
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0.7217251062393188
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