Multivariate FX models with jumps : triangles, Quantos and implied correlation
Laura Ballotta, Griselda Deelstra, Grégory Rayée
| Year of publication: |
1 August 2017
|
|---|---|
| Authors: | Ballotta, Laura ; Deelstra, Griselda ; Rayée, Grégory |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 260.2017, 3 (1.8.), p. 1181-1199
|
| Subject: | Option pricing | Calibration procedure | Implied correlation | Multivariate Lévy processes | Quanto products | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.02.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011714363