Multivariate FX models with jumps: triangles, quantos and implied correlation

DOI10.1016/j.ejor.2017.02.018zbMath1403.91329OpenAlexW2590212920MaRDI QIDQ1753549

Laura Ballotta, Griselda Deelstra, Grégory Rayée

Publication date: 29 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16661/1/Quanto_final_EJOR.pdf

zbMATH Keywords

option pricingcalibration proceduremultivariate Lévy processesimplied correlationQuanto products,

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Optimal portfolios when variances and covariances can jump ⋮ Extending the Merton model with applications to credit value adjustment ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Integrated structural approach to credit value adjustment ⋮ VIX derivatives, hedging and vol-of-vol risk ⋮ Smiles \& smirks: volatility and leverage by jumps

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