The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities

DOI10.1080/1350486X.2011.626895zbMath1372.91074MaRDI QIDQ5363227

Paul Doust

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityFX optionsSABRintrinsic currency valuesSticVol

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A multivariate stochastic volatility model with applications in the foreign exchange market ⋮ COHERENT FOREIGN EXCHANGE MARKET MODELS ⋮ Efficient exposure computation by risk factor decomposition

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