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LECTURE 9: A MODEL FOR FOREIGN EXCHANGE 1. one’s stochastic model for an observable Options on Foreign Exchange

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We examine foreign exchange options in the jump-diffusion version of the Heston stochastic volatility model for the exchange rate with log-normal jump amplitudes and

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A Finite-diﬁerence approach to the pricing of barrier options in stochastic skew models Andrey Itkin The market pricing of OTC FX options displays both

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he drive to trade currency options electronically has clearing model to markets that had focussing on foreign exchange and FX options as an asset class as a

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Vanna-Volga Approaches Stochastic-Local-Volatility FX Derivatives Product/Platform Trends Summary FX Derivatives: Model and Product Trends Uwe Wystup, Universi…

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