EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643): Difference between revisions

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Latest revision as of 09:39, 30 July 2024

scientific article; zbMATH DE number 6858065
Language Label Description Also known as
English
EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL
scientific article; zbMATH DE number 6858065

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    EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (English)
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    11 April 2018
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    European quanto derivatives
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    convexity adjustment
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    volatility skew/smile
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    local volatility FX-LIBOR model
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    expansion formula
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    analytical approximations, Malliavin calculus
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