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
expansion formulaconvexity adjustmentanalytical approximations, Malliavin calculusEuropean quanto derivativeslocal volatility FX-LIBOR modelvolatility skew/smile
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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