Efficient Calibration to FX Options by Markovian Projection in Cross-Currency Libor Market Models

We revisit the cross-currency LIBOR Market Model armed with the technique of Markovian projection. We derive an efficient approximation for FX options and show how the FX skew can be modeled consistently with the interest rate skew in a common multifactor model

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Year of publication:	[2016]
Authors:	Antonov, Alexandre
Other Persons:	Misirpashaev, Timur (contributor)
Publisher:	[2016]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 10, 2006 erstellt
Other identifiers:	10.2139/ssrn.936087 [DOI]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012707157