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

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

zbMATH Keywords

unconditional stability finite-difference forward equations stochastic correlation FX options stochastic skew 3D PIDE correlated jumps fully implicit splitting scheme SLV models

Mathematics Subject Classification ID

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

Related Items (1)

Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods

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