Pricing foreign exchange options with stochastic volatility

Rehez Ahlip

Pricing foreign exchange options with stochastic volatility

Rehez Ahlip

School of Computer, Data & Mathematical Sciences

Research output: Chapter in Book / Conference Paper › Chapter

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 language	English
Title of host publication	Methods and Applications of Statistics in Business, Finance, and Management Science
Editors	Narayanaswamy Balakrishnan
Place of Publication	U.S.
Publisher	Wiley & Sons
Pages	408-433
Number of pages	26
ISBN (Print)	9780470405109
Publication status	Published - 2010

Cite this

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title = "Pricing foreign exchange options with stochastic volatility",

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.",

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AB - 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.

UR - http://handle.uws.edu.au:8081/1959.7/556468

M3 - Chapter

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BT - Methods and Applications of Statistics in Business, Finance, and Management Science

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PB - Wiley & Sons

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ER -

Pricing foreign exchange options with stochastic volatility

Abstract

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