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Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates

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References

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Cited by

1998The Risk Premium of Volatility Implicit in Currency Options45 cited
1996The predictive power of implied stochastic variance from currency options40 cited

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1997Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model34 cited

2014The Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk26 cited

1996BIVARIATE BINOMIAL OPTIONS PRICING WITH GENERALIZED INTEREST RATE PROCESSES26 cited

2008FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES25 cited

2007An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates23 cited