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It is known that the implied volatility skew of Forex (FX) options demonstrates a stochastic behaviour which is called stochastic skew. In this paper, we create stochastic skew by assuming the spot/instantaneous variance (InV) correlation to be stochastic. Accordingly, we consider a class of...
Financial products which depend on hitting times for two underlying assets have become very popular in the last decade. Three common examples are double-digital barrier options, two-asset barrier spread options and double lookback options. Analytical expressions for the joint distribution of the...
A third-order approximation for close-to-the-money European option prices under an infinite-variation CGMY Lévy model is derived, and is then extended to a model with an additional independent Brownian component. The asymptotic regime considered, in which the strike is made to converge to the...
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