Stochastic skew in currency options☆

• 1 October 2007
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 86  (1) , 213-247
• https://doi.org/10.1016/j.jfineco.2006.03.010

Abstract

Keywords

• G12
• G13
• F31
• C52
• CURRENCY OPTIONS
• FOREIGN EXCHANGE DYNAMICS
• STOCHASTIC SKEW
• STOCHASTIC VOLATILITY
• TIME-CHANGED LÉVY PROCESSES