User: Guest  Login
Title:

A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing

Document type:
Zeitschriftenaufsatz
Author(s):
Bannör, K. F.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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...     »
Keywords:
Barndorff-Nielsen-Shephard model, stochastic volatility model, two-sided jumps, Fourier pricing, FX rate modeling, FX options
Intellectual Contribution:
Discipline-based Research
Journal title:
Wilmott Magazine
Year:
2013
Journal volume:
2013
Journal issue:
65
Pages contribution:
58-69
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1002/wilm.10217
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
 BibTeX
versions