Derivatives pricing - Repricing the cross smile: An analytic joint density - Derivatives contracts on multiple foreign exchange rates must be priced to avoid arbitrage by contracts on the cross-rates. Given the triangle of smiles for two underlyings and their cross, the author provides an analytic formula for a joint probability density such that all three vanilla markets are repriced. The method ...
| Year of publication: |
2011
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| Authors: | Austing, Peter |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 7, p. 72-76
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