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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Bannör, K. F.; Scherer, M. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing 
Abstract:
We present an extension of the BNS stochastic volatility model, incorporating two- sided jumps in the asset price process. The characteristic function of the log-price process is computed, enabling us to calibrate efficiently to plain vanilla products by means of Fourier pricing methods. Finally, we present as an application of the two- sided BNS model the calibration to FX option prices, where a model with two-sided jumps is more suitable due to the symmetric nature of the FX markets. We find t...    »
 
Stichworte:
Barndorff-Nielsen-Shephard model, stochastic volatility model, two-sided jumps, Fourier pricing, FX rate modeling, FX options 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Wilmott Magazine 
Jahr:
2013 
Band / Volume:
2013 
Heft / Issue:
65 
Seitenangaben Beitrag:
58-69 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein