A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
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Publication:3648639
DOI10.1142/S0219024909005506zbMath1186.91205OpenAlexW3125561939MaRDI QIDQ3648639
Aleksandar Mijatović, Claudio Albanese
Publication date: 27 November 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024909005506
stochastic volatilitycontinuous-time Markov chainsforeign exchangerisk-reversalsvolatility surface dynamics
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