An E-ARCH model for the term structure of implied volatility of FX options
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Publication:4994410
DOI10.1080/13504869700000001zbMath1466.91353OpenAlexW2211168457MaRDI QIDQ4994410
Publication date: 18 June 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504869700000001
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Dynamics of implied volatility surfaces ⋮ Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications ⋮ A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
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