A multivariate stochastic volatility model with applications in the foreign exchange market

DOI10.1007/s11147-017-9132-8zbMath1417.91496OpenAlexW2602851758MaRDI QIDQ1621630

Christoph Gschnaidtner, Marcos Escobar

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9132-8

zbMATH Keywords

calibrationstochastic volatility modelsmultivariate modelsFX optionsPCSV modeltriangular relation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity, International portfolio choice under multi-factor stochastic volatility

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