Travail de recherche/Working paper
Titre: |
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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 |