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).
- Umfang
-
Seite(n): 465-480
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Quantitative Finance, 6(6)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
Theorieanwendung
- Ereignis
-
Geistige Schöpfung
- (wer)
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Eberlein, Ernst Wilhelm
Koval, Nataliya
- Ereignis
-
Veröffentlichung
- (wo)
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Vereinigtes Königreich
- (wann)
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2006
- DOI
- URN
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urn:nbn:de:0168-ssoar-220866
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Eberlein, Ernst Wilhelm
- Koval, Nataliya
Entstanden
- 2006
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