Foreign exchange rate volatility smiles and smirks

DOI10.1002/ASMB.2602MaRDI QIDQ6579568zbMATH OpenFDO

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

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• Mathematical methods for foreign exchange. A financial engineer's approach
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Option pricing under hybrid stochastic and local volatility
• Partial differential equations. 4th ed
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
• Rare shock, two-factor stochastic volatility and currency option pricing
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Stock price distributions with stochastic volatility: an analytic approach

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