The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities (Q5363227)

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scientific article; zbMATH DE number 6786570
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The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities
scientific article; zbMATH DE number 6786570

    Statements

    The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities (English)
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    5 October 2017
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    stochastic volatility
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    intrinsic currency values
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    FX options
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    SABR
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    SticVol
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