Rare shock, two-factor stochastic volatility and currency option pricing (Q4585900)
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scientific article; zbMATH DE number 6934621
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Rare shock, two-factor stochastic volatility and currency option pricing |
scientific article; zbMATH DE number 6934621 |
Statements
Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing (English)
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11 September 2018
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spot foreign exchange rate
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rare shock
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Esscher transform
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currency option
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0.8915284872055054
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0.8709616661071777
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0.8352108597755432
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0.811767578125
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