Multivariate FX models with jumps: triangles, quantos and implied correlation (Q1753549)
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scientific article; zbMATH DE number 6875842
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| English | Multivariate FX models with jumps: triangles, quantos and implied correlation |
scientific article; zbMATH DE number 6875842 |
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Multivariate FX models with jumps: triangles, quantos and implied correlation (English)
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29 May 2018
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option pricing
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calibration procedure
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implied correlation
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multivariate Lévy processes
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Quanto products,
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0.7721707224845886
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0.7659667730331421
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0.7657789587974548
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0.7630519270896912
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0.762652575969696
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