Multi-Currency Modeling
A new framework for modeling multiple currencies using CBI-time-changed Lévy processes has been created, offering a semi-closed pricing formula for currency options and two calibration methods using deep-learning techniques.
Featured in No. 50 on 22 May 2024 · on release day
- Released
- 22 May 2024
- First featured
- No. 50 · 22 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 10
- Identifier
- RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z
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