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Foreign exchange rate volatility smiles and smirks - MaRDI portal

Foreign exchange rate volatility smiles and smirks

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Publication:6579568

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DOI10.1002/asmb.2602MaRDI QIDQ6579568

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

smile stochastic volatility foreign exchange implied volatility constant elasticity of variance smirk

Mathematics Subject Classification ID

Statistics (62-XX)

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