Foreign Exchange Option Pricing: A Practitioner's Guide

By I. Clark. 2011

113 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/dadc5355a2959ee76acd6cda65904937893b475a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Leif B. G. Andersen
2. Alexander Lipton
3. Adrien de Larrard
4. Rama Cont
5. Christian Kahl

Citations in the corpus

• Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, background): “The latter definition can be found in [33] and, unfortunately, does not allow one to uniquely extract Σ.”
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (2013, unknown): “…models by describing the instantaneous volatility of an underlying S by a function σ ( t, S t , Y t ) where Y is some auxiliary, possibly multidimensional, stochastic process (see, for instance, Lipton (2002), Alexander and Nogueira (2004), Ewald (2005), Henry-Labordere (2009) and Clark (2010)).”