Pricing Foreign Exchange Options with Stochastic Volatility
Published Online: 15 NOV 2010
Copyright © 2004 by John Wiley & Sons, Inc. All rights reserved.
Encyclopedia of Statistical Sciences
How to Cite
Ahlip, R. 2010. Pricing Foreign Exchange Options with Stochastic Volatility. Encyclopedia of Statistical Sciences. 1–34.
- Published Online: 15 NOV 2010
An exhaustive survey of research on pricing foreign exchange options with stochastic volatility and stochastic interest rates is presented in this article. The article also includes contributions to pricing of currency options with fixed volatility and deterministic interest rates, domestic and foreign, and in a systematic way extend to results obtained for cases which include stochastic volatility and stochastic interest rates. Since the literature in pricing foreign exchange currency option is quite extensive, the article considers some of the more important contributions.
- Foreign exchange options;
- Stochastic volatility;
- Stochastic interest rates;
- Mean-reverting process;
- Square-root process