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EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL

JULIEN HOK, PHILIP NGARE and ANTONIS PAPAPANTOLEON
International Journal of Theoretical and Applied Finance 21 (02) 1850017 (2018)
DOI: 10.1142/S0219024918500176
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Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods

Julien Hok and Shih-Hau Tan
Decisions in Economics and Finance (2019)
DOI: 10.1007/s10203-019-00232-3
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The Forward Smile in Local-Stochastic Volatility Models

Andrea Mazzon and Andrea Pascucci
SSRN Electronic Journal (2015)
DOI: 10.2139/ssrn.2560300
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