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Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets

Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; … - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 237-276

Persistent link: https://www.econbiz.de/10010393957

Local volatility pricing models for long-dated FX derivatives

Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402

Persistent link: https://www.econbiz.de/10010187656

Multivariate FX models with jumps : triangles, Quantos and implied correlation

Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory - In: European journal of operational research : EJOR 260 (2017) 3, pp. 1181-1199

Persistent link: https://www.econbiz.de/10011714363

Quanto implied correlation in a multi-lévy framework

Ballota, Laura; Deelstra, Griselda; Rayée, Grégory - 2015

Persistent link: https://www.econbiz.de/10011628452

Multivariate FX Models with Jumps : Triangles, Quantos and Implied Correlation

Ballotta, Laura - 2017

We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives, including Quanto products; the model is based on a multivariate construction for Levy processes which proves to be analytically tractable. The approach allows for simultaneous...

Persistent link: https://www.econbiz.de/10012963076