Thesis icon

Thesis

Numerical methods for foreign exchange option pricing under hybrid stochastic and local volatility models

Abstract:

In this thesis, we study the FX option pricing problem and put forward a 4-factor hybrid stochastic-local volatility model. The model, which describes the dynamics of an exchange rate, its volatility and the domestic and foreign short rates, allows for a perfect calibration to European options and has a good hedging performance. Due to the high-dimensionality of the problem, we propose a Monte Carlo simulation scheme that combines the full truncation Euler scheme for the stochastic volatil...

Expand abstract

Actions


Access Document


Files:

Authors


More by this author
Department:
Mathematical Institute, University of Oxford

Contributors

Department:
Mathematical Institute, University of Oxford
Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP