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

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zbMATH Keywords

stochastic volatilityFourier inversionbenchmark approachforex

Mathematics Subject Classification ID

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

Cites Work

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• BENCHMARKED RISK MINIMIZATION
• 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
• Change of drift in one-dimensional diffusions
• Calibrating rough volatility models: a convolutional neural network approach
• Coherent foreign exchange market models
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

Cited In (4)

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

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