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Calibration to FX triangles of the 4/2 model under the benchmark approach |
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| Authors: | Gnoatto Alessandro Grasselli Martino Platen Eckhard |
| Institution: | 1.Department of Economics, University of Verona, Via Cantarane 24, 37129, Verona, Italy ;2.Dipartimento di Matematica, Università degli Studi di Padova, via Trieste 63, 35121, Padua, Italy ;3.Finance Group, Research Center, Léonard de Vinci Pôle Universitaire, 92 916, Paris La Défense, France ;4.Finance Discipline Group and School of Mathematical and Physical Sciences, University of Technology Sydney, PO Box 123, Broadway, NSW, 2007, Australia ;5.Department of Actuarial Science, University of Cape Town, Cape Town, South Africa ; |
| Abstract: | Decisions in Economics and Finance - We calibrate a novel multifactor stochastic volatility model that includes as special cases the Heston-based model of De Col et al. (J Bank Finance... |
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