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Foreign Exchange Option Pricing: A Practitioner's Guide
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Foreign Exchange Option Pricing: A Practitioner's Guide (2011)Foreign Exchange Option Pricing: A Practi…Static hedging and pricing of exotic options with payoff frames (2018)Static hedging and pricing of…Event-Related Exchange-Rate Forecasts Combining Information from Betting Quotes and Option Prices (2018)Event-Related Exchange-Rate F…Full and fast calibration of the Heston stochastic volatility model (2017)Full and fast calibration of …Explicit implied volatilities for multifactor local-stochastic volatility models (2017)Explicit implied volatilities…Calibrating and Pricing with a Stochastic-Local Volatility Model (2015)Calibrating and Pricing with …THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (2014)THE HESTON STOCHASTIC-LOCAL V…Pricing currency derivatives under the benchmark approach (2014)Pricing currency derivatives …An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates (2014)An Affine Multicurrency Model…Smiles all around: FX joint calibration in a multi-Heston model (2013)Smiles all around: FX joint c…ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (2013)ASYMPTOTICS FOR EXPONENTIAL L…Arbitrage-free implied volatility surfaces for options on single stock futures (2013)Arbitrage-free implied volati…FX Volatility Smile Construction (2012)FX Volatility Smile Construct…A Guide to FX Options Quoting Conventions (2010)A Guide to FX Options Quoting…Théorie de la spéculation (1900)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)The equity option volatility smile: an implicit finite-difference approach (1997)REGULAR VARIATION AND SMILE ASYMPTOTICS (2009)Encyclopedia of Quantitative Finance (2010)A backward Monte Carlo approach to exotic option pricing (2017)Arbitrage-Free Neural-SDE Market Models (2021)Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders (2023)Foreign currency option values (1983)Encyclopedia of quantitative finance (2011)On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective (2017)Crypto quanto and inverse options (2023)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Financial Modelling with Jump Processes (2003)A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (2020)The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications (2020)Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm (2022)Theory of Rational Option Pricing (1973)The Small-Maturity Heston Forward Smile (2013)Short Maturity Asian Options in Local Volatility Models (2016)Closed-form implied volatility surfaces for stochastic volatility models with jumps (2020)A Theory of the Term Structure of Interest Rates (1985)Brownian Motion and Stochastic Calculus (2007)How should a local regime-switching model be calibrated? (2017)Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing (2019)Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations (2020)Brownian motion and stochastic calculus (1991)Prices of State-Contingent Claims Implicit in Option Prices (1978)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Robust barrier option pricing by frame projection under exponential Lévy dynamics (2017)Static and Semi-Static Hedging as Contrarian or Conformist Bets (2019)A data-driven framework for consistent financial valuation and risk measurement (2020)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Moment explosions in stochastic volatility models (2006)Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (2016)Implied Stochastic Volatility Models (2020)Asymptotic Expansion Approach in Finance (2015)General closed-form basket option pricing bounds (2015)
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  • 2017Explicit implied volatilities for multifactor local-stochastic volatility models72 cited
  • 2017Full and fast calibration of the Heston stochastic volatility model68 cited
  • 2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION67 cited
  • 2013ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS60 cited
  • 2013Smiles all around: FX joint calibration in a multi-Heston model55 cited
  • 2010A Guide to FX Options Quoting Conventions52 cited
  • 2012FX Volatility Smile Construction37 cited
  • 2018Static hedging and pricing of exotic options with payoff frames36 cited
  • 2014Pricing currency derivatives under the benchmark approach30 cited
  • 2014An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates28 cited
  • 2015Calibrating and Pricing with a Stochastic-Local Volatility Model28 cited
  • 2013Arbitrage-free implied volatility surfaces for options on single stock futures24 cited
  • 2018Event-Related Exchange-Rate Forecasts Combining Information from Betting Quotes and Option Prices22 cited

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