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Foreign Exchange Option Pricing: A Practitioner's Guide · Study

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ArticleForeign Exchange Option Pricing: A Practitioner's Guide

Iain John Clark2011

Article2011

Foreign Exchange Option Pricing: A Practitioner's Guide

Iain John Clark

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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2017Explicit implied volatilities for multifactor local-stochastic volatility models 2017Full and fast calibration of the Heston stochastic volatility model 2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 2013ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS 2013Smiles all around: FX joint calibration in a multi-Heston model 2010A Guide to FX Options Quoting Conventions 2012FX Volatility Smile Construction 2018Static hedging and pricing of exotic options with payoff frames

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Year2011

Typearticle

Published2011-01-18

Languageen

Citations112

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1002/9781119208679

openalex_workW113145665

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