|
|||||
|
|
The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities |
|
| Authors: | Paul Doust |
| Affiliation: | 1. Royal Bank of Scotland , 135 Bishopsgate, London , EC2M 3UR , UK paul@pauldoust.com |
| Abstract: | |
| Keywords: | stochastic volatility intrinsic currency values FX options SABR SticVol |