Multivariate FX models with jumps: triangles, quantos and implied correlation
type: Item
instance of: scholarly article
title: Multivariate FX models with jumps: triangles, quantos and implied correlation
zbMATH Open document ID: 1403.91329
author: Laura Ballotta
author: Griselda Deelstra
author: Grégory Rayée
published in: European Journal of Operational Research
publication date: 2018-05-29T00:00:00Z
full work available at URL: Quanto final EJOR.pdf
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6875842
zbMATH Keywords: option pricing
zbMATH Keywords: calibration procedure
zbMATH Keywords: implied correlation
zbMATH Keywords: multivariate Lévy processes
zbMATH Keywords: Quanto products,
MaRDI profile type: Publication
OpenAlex ID: W2590212920
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DOI: 10.1016/J.EJOR.2017.02.018
description: scientific article; zbMATH DE number 6875842