Expansion formulas for European quanto options in a local volatility FX-LIBOR model (Q4634643)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Expansion formulas for European quanto options in a local volatility FX-LIBOR model |
scientific article; zbMATH DE number 6858065
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Expansion formulas for European quanto options in a local volatility FX-LIBOR model |
scientific article; zbMATH DE number 6858065 |
Statements
EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (English)
0 references
11 April 2018
0 references
European quanto derivatives
0 references
convexity adjustment
0 references
volatility skew/smile
0 references
local volatility FX-LIBOR model
0 references
expansion formula
0 references
analytical approximations, Malliavin calculus
0 references
0 references
0 references
0 references
0 references
0.830559253692627
0 references
0.7956036925315857
0 references
0.7851628661155701
0 references
0.7844122648239136
0 references
0.7712584137916565
0 references
