Foreign Exchange Risk: Models, Instruments and Strategies

By J. Hakala, U. Wystup. 2002

48 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2ba9bdeb3c1502d365619b734efb7901b38e360f

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Citations in the corpus

• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013, background): “…formula, which is based on the classic Garman– Kohlhagen log-normal model for the exchange rate (for details, the interested reader is referred to Hakala and Wystup (2002) or Reiswich and Wystup (2012)) K = F(t, T ) exp ( −δσ√τ N−1(δ F ) + 1 2 σ 2τ ) , (19) where N−1 is the inverse of the…”