Foreign exchange rate volatility smiles and smirks

DOI10.1002/ASMB.2602MaRDI QIDQ6579568FDOQ6579568

Authors: Sun-Yong Choi, Jeong-Hoon Kim, Ji-Hun Yoon 

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

foreign exchangesmilestochastic volatilityimplied volatilityconstant elasticity of variancesmirk

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• Stock price distributions with stochastic volatility: an analytic approach
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• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
• Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
• Arbitrage-free approximation of call price surfaces and input data risk
• Arbitrage-free smoothing of the implied volatility surface
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Option pricing under hybrid stochastic and local volatility
• FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility
• Rare shock, two-factor stochastic volatility and currency option pricing
• A multiscale correction to the Black-Scholes formula

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