English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model inthe context of foreign exchange markets and propose a Monte Carlo simulationscheme which combines the full truncation Euler scheme for the stochasticvolatility component and the stochastic domestic and foreign short interestrates with the log-Euler scheme for the exchange rate. We establish theexponential integrability of full truncation Euler approximations for theCox-Ingersoll-Ross process and find a lower bound on the explosion time ofthese exponential moments. Under a full correlation structure and a realisticset of assumptions on the so-called leverage function, we prove the strongconvergence of the exchange rate approximations and deduce the convergence ofMonte Carlo estimators for a number of vanilla and path-dependent options.Then, we perform a series of numerical experiments for an autocallable barrierdual currency note.

Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets