Journal article | Zeitschriftenartikel
A Cross-Currency Lévy Market Model
The Lévy Libor or market model which was introduced in Eberlein and Özkan (2005) is extended to a multi-currency setting. As an application we derive closed form pricing formulas for cross-currency derivatives. Foreign caps and floors, cross-currency swaps and quanto caplets are studied in detail. Numerically efficient pricing algorithms based on bilateral Laplace transforms are derived. A calibration example is given for a two-currency setting (EUR, USD).
- Extent
-
Seite(n): 465-480
- Language
-
Englisch
- Notes
-
Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
-
Quantitative Finance, 6(6)
- Subject
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
Theorieanwendung
- Event
-
Geistige Schöpfung
- (who)
-
Eberlein, Ernst Wilhelm
Koval, Nataliya
- Event
-
Veröffentlichung
- (where)
-
Vereinigtes Königreich
- (when)
-
2006
- DOI
- URN
-
urn:nbn:de:0168-ssoar-220866
- Rights
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
-
21.06.2024, 4:27 PM CEST
Data provider
This object is provided by:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Eberlein, Ernst Wilhelm
- Koval, Nataliya
Time of origin
- 2006
Other Objects (12)
A Cross-Currency Lévy Market Model
Time-inhomogeneous Lévy processes in cross-currency market models
Currency Unions and Irish External Trade
Currency Manipulation, Collusion, and other Corrupt Practices
Cross-cultural, cross-societal and cross-national research
New approaches to cross-strait integration and its impacts on Taiwan's domestic economy: an emerging "Chaiwan"?
Cross currency swap valuation
Cross currency swap valuation
The Currency of Historicity in Hong Kong: Deconstructing Nostalgia through Soy Milk
Debt financing and sharp currency depreciations: wholly versus partially-owned multinational affiliates
Cross-dressing und Maskerade
Stock Market Returns in an Emerging Financial Market: Turkish Case Study
A Cross-Currency Lévy Market Model
Time-inhomogeneous Lévy processes in cross-currency market models
Currency Unions and Irish External Trade
Currency Manipulation, Collusion, and other Corrupt Practices
Cross-cultural, cross-societal and cross-national research
New approaches to cross-strait integration and its impacts on Taiwan's domestic economy: an emerging "Chaiwan"?
Cross currency swap valuation
Cross currency swap valuation
The Currency of Historicity in Hong Kong: Deconstructing Nostalgia through Soy Milk
Debt financing and sharp currency depreciations: wholly versus partially-owned multinational affiliates
Cross-dressing und Maskerade
Stock Market Returns in an Emerging Financial Market: Turkish Case Study
A Cross-Currency Lévy Market Model
Time-inhomogeneous Lévy processes in cross-currency market models
Currency Unions and Irish External Trade
Currency Manipulation, Collusion, and other Corrupt Practices
Cross-cultural, cross-societal and cross-national research
New approaches to cross-strait integration and its impacts on Taiwan's domestic economy: an emerging "Chaiwan"?
Cross currency swap valuation
Cross currency swap valuation
The Currency of Historicity in Hong Kong: Deconstructing Nostalgia through Soy Milk
Debt financing and sharp currency depreciations: wholly versus partially-owned multinational affiliates
Cross-dressing und Maskerade