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)
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Anmerkungen
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 6 (2006) 6 ; 465-480
- Klassifikation
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Wirtschaft
- Ereignis
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Veröffentlichung
- (wo)
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Mannheim
- (wann)
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2006
- Urheber
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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
- Rechteinformation
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
25.03.2025, 13:49 MEZ
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Beteiligte
- Eberlein, Ernst Wilhelm
- Koval, Nataliya
Entstanden
- 2006
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