Stochastic skew in currency options

Journal of Financial Economics

Volumn 86, Issue 1, 2007, Pages 213-247

  Carr, Peter ^a,b   Wu, Liuren ^c  

^a Bloomberg LP   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Currency options; Foreign exchange dynamics; Stochastic skew; Stochastic volatility; Time changed L vy processes

Indexed keywords

EID: 34548524215     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2006.03.010     Document Type: Article

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