Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps (Q5373914)
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scientific article; zbMATH DE number 6856774
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps |
scientific article; zbMATH DE number 6856774 |
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Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps (English)
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6 April 2018
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stochastic correlation
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FX options
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stochastic skew
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SLV models
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correlated jumps
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3D PIDE
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finite-difference
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forward equations
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fully implicit splitting scheme
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unconditional stability
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