A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

By Peter P. Carr, J. Crosby. 2010

49 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/f2da3b217e737647c0a5d884013fe098d7d4d4e9