摘要翻译：
研究了国内外利率均为随机的外汇市场的局部波动函数。该模型适用于长期外汇衍生品的定价。我们推导了局部波动率函数，并得到了几个可用于在外汇期权市场上校准局部波动率的结果。然后，我们研究了一个扩展，得到了一个更通用的波动率模型，并提出了一种与该模型相关的局部波动率的校正方法。
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英文标题：
《Local Volatility Pricing Models for Long-dated FX Derivatives》
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作者：
Griselda Deelstra and Gr\'egory Ray\'ee
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and obtain several results that can be used for the calibration of this local volatility on the FX option's market. Then, we study an extension to obtain a more general volatility model and propose a calibration method for the local volatility associated to this model.
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PDF链接：
https://arxiv.org/pdf/1204.0633