A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options |
scientific article; zbMATH DE number 5827874
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options |
scientific article; zbMATH DE number 5827874 |
Statements
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (English)
0 references
20 December 2010
0 references
Lévy processes
0 references
option pricing
0 references
barrier options
0 references
continuous time finance
0 references
credit models
0 references
currency derivatives
0 references
pricing of derivative securities
0 references
quantitative finance
0 references
0 references
0 references
0.7638793587684631
0 references
0.7514608502388
0 references
0.750156819820404
0 references
0.7489337921142578
0 references
0.7475475072860718
0 references
