MoneyScience: News item - Uwe Wystup’s FX Column in Wilmott Magazine October 2019: “Reverse Knockout Pricing Case Study: Stochastic Local Volatility versus Vanna‐Volga”

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Uwe Wystup’s FX Column in Wilmott Magazine October 2019: “Reverse Knockout Pricing Case Study: Stochastic Local Volatility versus Vanna‐Volga”

MathFinance Tue, 29 Oct 2019 09:52:46 GMT

Two heavyweight vol models punch it out.

Read article here.

The post Uwe Wystup’s FX Column in Wilmott Magazine October 2019: “Reverse Knockout Pricing Case Study: Stochastic Local Volatility versus Vanna‐Volga” appeared first on MathFinance.

Tue, 29 Oct 2019 09:52:46 GMT

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