par Ballotta, Laura;Deelstra, Griselda ;Rayée, Grégory
Référence European journal of operational research, 10.1016/j.ejor.2017.02.018
Publication Publié, 2017
Article révisé par les pairs
Résumé : We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives, including Quanto products; the model is based on a multivariate construction for Lévy processes which proves to be analytically tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives access to market consistent information on dependence between the relevant variables. A successful joint calibration to real market data is presented for the particular case of the Variance Gamma process.