Titre:
  • Quanto Implied Correlation in a Multi-Lévy Framework
Auteur:Ballota, Laura; Deelstra, Griselda; Rayée, Grégory
Statut de publication:Publié, 2015-10
series:ECARES Working Papers, ECARES 2015-36
Sujet CREF:Economie
Sujet JEL:Contingent Pricing; Futures Pricing; option pricing
Asset Pricing; Trading volume; Bond Interest Rates
Computational Techniques
Incomplete Markets
Volumes/pages:25 p.
Mots-clés:FX Risk
implied correlation
multivariate Lévy Processes
quanto products
varaiance gamma proces
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2013/219174