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Foreign Exchange Risk
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Foreign Exchange Risk (1976)Foreign Exchange RiskFX Volatility Smile Construction (2012)FX Volatility Smile Construct…On the valuation of fader and discrete barrier options in Heston's stochastic volatility model (2010)On the valuation of fader and…FX Options and Smile Risk (2010)FX Options and Smile RiskA Guide to FX Options Quoting Conventions (2010)A Guide to FX Options Quoting…Instalment Options: A Closed-Form Solution and the Limiting Case (2008)Instalment Options: A Closed-…Option pricing: A simplified approach (1979)The valuation of compound options (1979)Binomial models for option valuation - examining and improving convergence (1996)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)The Pricing of Options and Corporate Liabilities (1973)Foreign currency option values (1983)Foreign Exchange Option Pricing: A Practitioner's Guide (2011)An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates (2014)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)Option valuation using the fast Fourier transform (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Currency option pricing: Mean reversion and multi‐scale stochastic volatility (2010)Variance Reduction for Asian Options under a General Model Framework (2014)A Theory of the Term Structure of Interest Rates (1985)Theory of rational option pricing (2005)Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments (2011)Arbitrage-free implied volatility surfaces for options on single stock futures (2013)
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  • 2010A Guide to FX Options Quoting Conventions52 cited
  • 2012FX Volatility Smile Construction37 cited
  • 2010FX Options and Smile Risk26 cited
  • 2010On the valuation of fader and discrete barrier options in Heston's stochastic volatility model26 cited
  • 2008Instalment Options: A Closed-Form Solution and the Limiting Case22 cited

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