Travail de recherche/Working paper
| Titre: |
|
| 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 |
