FX basket options

We explain the valuation and correlation hedging of Foreign Exchange Basket Options in a multi-dimensional Black-Scholes model that allows including the smile. The technique presented is a fast analytic approximation to an accurate solution of the valuation problem.

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Year of publication:	2008
Authors:	Hakala, Jürgen ; Wystup, Uwe
Institutions:	Frankfurt School of Finance and Management
Subject:	Foreign Exchange Optios \| Basket Options \| Correlation Risk \| Volatility Smile Modelling \| Ito-Taylor Expansion

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Extent:	application/pdf
Series:	CPQF Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 14
Classification:	C63 - Computational Techniques ; F31 - Foreign Exchange ; G12 - Asset Pricing ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009642576