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