FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
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- FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
- scientific article; zbMATH DE number 1253576 (Why is no real title available?)
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Cited in
(36)- Pricing foreign equity option with stochastic volatility
- A multivariate stochastic volatility model with applications in the foreign exchange market
- Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
- A continuous-time model for valuing foreign exchange options
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Pricing currency derivatives with Markov-modulated Lévy dynamics
- A class of quadratic options for exchange rate stabilization
- Foreign exchange options on Heston-CIR model under Lévy process framework
- An affine multicurrency model with stochastic volatility and stochastic interest rates
- Coherent foreign exchange market models
- Asymptotic analysis for foreign exchange derivatives with stochastic volatility
- FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
- An explicitly solvable Heston model with stochastic interest rate
- Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
- Joining the Heston and a three-factor short rate model: a closed-form approach
- CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
- A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
- A non random walk theory of exchange rate dynamics with applications to option pricing
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
- Forward start foreign exchange options under Heston's volatility and the CIR interest rates
- Heterogeneous expectations, currency options and the euro/dollar
- On the hedging of options on exploding exchange rates
- A closed-form pricing formula for european exchange options with stochastic volatility
- FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- The stochastic intrinsic currency volatility model: a consistent framework for multiple FX rates and their volatilities
- Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
- scientific article; zbMATH DE number 5260301 (Why is no real title available?)
- The valuation of foreign currency options under stochastic interest rates
- XVA in a multi-currency setting with stochastic foreign exchange rates
- The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- FX Open Forward
- Optimal investment strategy for an insurer in two currency markets
- FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility
- Exchange option pricing under stochastic volatility: a correlation expansion
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