Arbeitspapier
FX basket options
We explain the valuation and correlation hedging of Foreign Exchange Basket Options in a multi-dimensional Black-Scholes model that allows including the smile. The technique presented is a fast analytic approximation to an accurate solution of the valuation problem.
- Sprache
-
Englisch
- Erschienen in
-
Series: CPQF Working Paper Series ; No. 14
- Klassifikation
-
Wirtschaft
Computational Techniques; Simulation Modeling
Foreign Exchange
Asset Pricing; Trading Volume; Bond Interest Rates
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
Foreign Exchange Optios
Basket Options
Correlation Risk
Volatility Smile Modelling
Ito-Taylor Expansion
Devisenoptionsgeschäft
Optionspreistheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hakala, Jürgen
Wystup, Uwe
- Ereignis
-
Veröffentlichung
- (wer)
-
Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hakala, Jürgen
- Wystup, Uwe
- Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Entstanden
- 2008
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