Pricing foreign exchange options with stochastic volatility

    Research output: Chapter in Book / Conference PaperChapter

    Abstract

    This article is a survey and contains new results in the area of foreign exchange quantitative research. The foreign exchange OTC (over the counter) derivative market is one of the largest and most liquid markets in the world. There are only a few currencies contributing to this enormous turnover, namely the US dollar, Japanese yen, Euro and Sterling, followed by the Swiss franc, Australian dollar and Canadian dollar.
    Original languageEnglish
    Title of host publicationMethods and Applications of Statistics in Business, Finance, and Management Science
    EditorsNarayanaswamy Balakrishnan
    Place of PublicationU.S.
    PublisherWiley & Sons
    Pages408-433
    Number of pages26
    ISBN (Print)9780470405109
    Publication statusPublished - 2010

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