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A cross-currency Lévy market model - MaRDI portal

A cross-currency Lévy market model (Q3437405)

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A cross-currency Lévy market model
scientific article

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    title
    A cross-currency Lévy market model (English)
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    author
    Ernst Eberlein
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    Nataliya Koval
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    publication date
    9 May 2007
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    Mathematics Subject Classification ID
    91B28
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    60H05
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    60H30
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    91B64
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    91B26
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    zbMATH DE Number
    5150699
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    zbMATH Keywords
    multi-currency model
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    cross-currency derivatives
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    foreign forward caps and floors
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    cross-currency swaps
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    time-inhomogeneous Lévy processes
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    forward martingale measure
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    OpenAlex ID
    W2035940485
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