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Pricing currency derivatives under the benchmark approach · Study

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ArticlePricing currency derivatives under the benchmark approach

Jan F. Baldeaux2014

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Articlegreen2014

Pricing currency derivatives under the benchmark approach

Jan F. Baldeaux · Martino Grasselli · Eckhard Platen

30 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1991Brownian motion and stochastic calculus 1998Brownian Motion and Stochastic Calculus 1935Logik der Forschung 2003Affine processes and applications in finance 2000The Term Structure of Implied Volatility 2000Introduction and Summary of Results (Excerpt)

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Year2014

Typearticle

Published2014-12-20

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2014.11.018

openalex_workW3124129175

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