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- W2681103144 abstract "The market pricing of OTC FX options displays both stochastic volatility and stochastic skewness in the risk-neutral distribution governing currency returns. To capture this unique phenomenon Carr and Wu developed a model (SSM) with three dynamical state variables. They then used Fourier methods to value simple European-style options. However pricing exotic options requires numerical solution of 3D unsteady PIDE with mixed derivatives which is expensive. In this paper to achieve this goal we propose a new splitting technique. Being combined with another method of the authors, which uses pseudo-parabolic PDE instead of PIDE, this reduces the original 3D unsteady problem to a set of 1D unsteady PDEs, thus allowing a significant computational speedup. We demonstrate this technique for single and double barrier options priced using the SSM." @default.
- W2681103144 created "2017-06-30" @default.
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- W2681103144 date "2011-01-01" @default.
- W2681103144 modified "2023-09-24" @default.
- W2681103144 title "Jumps without tears: A new splitting technology for barrier options" @default.
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