A cross-currency Levy market model
Year of publication: |
2006
|
---|---|
Authors: | Eberlein, Ernst ; Koval, Nataliya |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 6.2006, 6, p. 465-480
|
Publisher: |
Taylor & Francis Journals |
Subject: | Multi-currency model | Cross-currency derivatives | Foreign forward caps and floors | Cross-currency swaps | Time-inhomogeneous Levy processes | Forward martingale measure |
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