Calibration to FX triangles of the 4/2 model under the benchmark approach

DOI10.1007/S10203-021-00330-1zbMATH Open1491.91145OpenAlexW3160373717MaRDI QIDQ2145688FDOQ2145688

Authors Alessandro Gnoatto, Martino Grasselli, Eckhard Platen

Publication date 17 June 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-021-00330-1

zbMATH Keywords

stochastic volatilityFourier inversionbenchmark approachforex

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3319139 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Affine processes and applications in finance
• An affine multicurrency model with stochastic volatility and stochastic interest rates
• BENCHMARKED RISK MINIMIZATION
• Calibrating rough volatility models: a convolutional neural network approach
• Change of drift in one-dimensional diffusions
• Coherent foreign exchange market models
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
• Functionals of multidimensional diffusions with applications to finance
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Moment explosions in stochastic volatility models
• On American VIX options under the generalized 3/2 and 1/2 models
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• The calculation of expectations for classes of diffusion processes by Lie symmetry methods
• Weak tail conditions for local martingales

Cited in

(4)

• Multivariate FX models with jumps: triangles, quantos and implied correlation
• CBI-time-changed Lévy processes for multi-currency modeling
• A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach

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