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

Andrey Itkin

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 stabilityfinite-differenceforward equationsstochastic correlationFX optionsstochastic skew3D PIDEcorrelated jumpsfully implicit splitting schemeSLV models

Mathematics Subject Classification ID

Related Items (1)

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

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