An affine multicurrency model with stochastic volatility and stochastic interest rates (Q2940769)
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scientific article; zbMATH DE number 6388333
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An affine multicurrency model with stochastic volatility and stochastic interest rates |
scientific article; zbMATH DE number 6388333 |
Statements
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates (English)
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20 January 2015
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FX options
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long-dated FX
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Wishart process
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0.854992151260376
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0.8194469213485718
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0.8060417771339417
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0.8034293055534363
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