Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

From MaRDI portal
Publication:5373914

DOI10.1080/1350486X.2017.1409641zbMath1398.91671arXiv1701.02821MaRDI QIDQ5373914

Andrey Itkin

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



Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (1)



Cites Work


This page was built for publication: Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps