Smiles all around: FX joint calibration in a multi-Heston model-Reference-Cited by-同舟云学术

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Smiles all around: FX joint calibration in a multi-Heston model

Published:2013-10 Issue:10 Volume:37 Page:3799-3818
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

De Col Alvise,Gnoatto Alessandro,Grasselli Martino

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference41 articles.

1. Moment explosions in stochastic volatility models;Andersen;Finance and Stochastics,2007

2. Repricing the cross smile: an analytical joint density;Austing;Risk,2011

3. Foreign exchange options and the volatility smile;Beneder;Medium Econometrische Toepassingen,2003

4. Quanto pricing with copulas;Bennett;Journal of Derivatives,2004

5. Arbitrage Theory in Continuous Time;Björk,2009

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