Quanto Skew with stochastic volatility Peter J¨ackel∗ First version: This version: 29th March 2010 - Local volatility - Document - PDFSEARCH.IO

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	Quanto Skew with stochastic volatility Peter J¨ackel∗ First version: This version: 29th March 2010 Add to Reading List Document Date: 2010-04-19 18:55:44 Open Document File Size: 744,43 KB Share Result on Facebook / IndustryTerm finite differencing solution / idealised exact solution / numerical solution / / / Position approximate quanto forward / quanto forward / driver / same risk-neutral forward / domestic forward / asset process driver and the FX rate process driver / forward / / PublishedMedium Journal of Financial and Quantitative Analysis / Journal of Financial Economics / Financial Analysts Journal / / Technology ATM / / URL www.jaeckel.org / www.jaeckel.org/QuantoSkew / / SocialTag Finance Investment Volatility smile Implied volatility Quanto Volatility Stochastic volatility Local volatility Black–Scholes Financial economics

Quanto Skew with stochastic volatility Peter J¨ackel∗ First version: This version: 29th March 2010Add to Reading List