Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
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Publication:5373914
DOI10.1080/1350486X.2017.1409641zbMath1398.91671arXiv1701.02821MaRDI QIDQ5373914
Publication date: 6 April 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.02821
unconditional stabilityfinite-differenceforward equationsstochastic correlationFX optionsstochastic skew3D PIDEcorrelated jumpsfully implicit splitting schemeSLV models
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