Calibration to FX triangles of the 4/2 model under the benchmark approach
Year of publication: |
2022
|
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Authors: | Gnoatto, Alessandro ; Grasselli, Martino ; Platen, Eckhard |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 1-34
|
Subject: | Benchmark approach | Forex | Fourier inversion | Stochastic volatility | Benchmarking | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
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