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

DOI10.1142/S0219024918500176zbMath1395.91448arXiv1801.01205OpenAlexW2963943374MaRDI QIDQ4634643

Philip Ngare, Julien Hok, Antonis Papapantoleon

Publication date: 11 April 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.01205

zbMATH Keywords

expansion formulaconvexity adjustmentanalytical approximations, Malliavin calculusEuropean quanto derivativeslocal volatility FX-LIBOR modelvolatility skew/smile

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods

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