A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

DOI10.1080/14697680903413605zbMath1229.91300MaRDI QIDQ3064014

Peter Carr, John Crosby

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903413605

zbMATH Keywords

Lévy processes; option pricing; barrier options; quantitative finance; pricing of derivative securities; continuous time finance; credit models; currency derivatives

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)

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