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Stochastic skew in currency options
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Stochastic skew in currency options
Stochastic skew in currency options
PC
Peter Carr
Peter Carr
Liuren Wu
Liuren Wu
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31 October 2007
journal article
Published by
Elsevier BV
in
Journal of Financial Economics
Vol. 86
(1)
,
213-247
https://doi.org/10.1016/j.jfineco.2006.03.010
Abstract
No abstract available
Keywords
G12
G13
F31
C52
CURRENCY OPTIONS
FOREIGN EXCHANGE DYNAMICS
STOCHASTIC SKEW
STOCHASTIC VOLATILITY
TIME-CHANGED LÉVY PROCESSES
Cited by 265 articles