A Cross-Currency Lévy Market Model
Abstract: 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)
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 6 (2006) 6 ; 465-480
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2006
- Creator
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Eberlein, Ernst Wilhelm
Koval, Nataliya
- DOI
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10.1080/14697680600818791
- URN
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urn:nbn:de:0168-ssoar-220866
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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25.03.2025, 1:49 PM CET
Data provider
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Associated
- Eberlein, Ernst Wilhelm
- Koval, Nataliya
Time of origin
- 2006
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