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Multivariate FX models with jumps: Triangles, Quantos and implied correlation · Study

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ArticleMultivariate FX models with jumps: Triangles, Quantos and implied correlation

Laura Ballotta2017

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Articlegreen2017

Multivariate FX models with jumps: Triangles, Quantos and implied correlation

Laura Ballotta · Griselda Deelstra · Grégory Rayée

24 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1976Option pricing when underlying stock returns are discontinuous 2003Financial Modelling with Jump Processes 1999Option valuation using the fast Fourier transform 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1998The Variance Gamma Process and Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 1995Changes of numéraire, changes of probability measure and option pricing 1995Option pricing by Esscher transforms.

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Details

Year2017

Typearticle

Published2017-02-24

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2017.02.018

openalex_workW2590212920

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