Numerical methods for foreign exchange option pricing under hybrid stochastic and local volatility models
<p>In this thesis, we study the FX option pricing problem and put forward a 4-factor hybrid stochastic-local volatility model. The model, which describes the dynamics of an exchange rate, its volatility and the domestic and foreign short rates, allows for a perfect calibration to European opti...
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| Format: | Praca dyplomowa |
| Język: | English |
| Wydane: |
2017
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