Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure - He, Xin-Jiang; Lin, Sha (Expert systems with applications, 2024)
Keywords: Closed-form solution; Foreign exchange options; Full correlation structure; Three-factor Heston–Hull–White model; Three-factor Heston–Hull–White model; Closed-form solution; Foreign exchange options; Full correlation structure