# Pricing foreign exchange options under stochastic volatility and interest rates using an RBF-FD method

@article{Soleymani2019PricingFE, title={Pricing foreign exchange options under stochastic volatility and interest rates using an RBF-FD method}, author={Fazlollah Soleymani and Andrey Itkin}, journal={J. Comput. Sci.}, year={2019}, volume={37} }

This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The model considers four stochastic drivers, each represented by an Ito's diffusion with time--dependent drift, and with a full matrix of correlations. It is known that prices of FX options in this model can be found by solving an associated backward partial differential equation (PDE). However, it contains non--affine… Expand

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