FX basket options

We explain the valuation and correlation hedging of Foreign Exchange Basket Options in a multi-dimensional Black-Scholes model that allows including the smile. The technique presented is a fast analytic approximation to an accurate solution of the valuation problem.

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Year of publication:	2008
Authors:	Hakala, Jürgen ; Wystup, Uwe
Publisher:	Frankfurt a. M. : Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Subject:	Devisenoptionsgeschäft \| Optionspreistheorie \| Theorie \| Foreign Exchange Optios \| Basket Options \| Correlation Risk \| Volatility Smile Modelling \| Ito-Taylor Expansion

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Series:	CPQF Working Paper Series ; 14
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	829999299 [GVK] hdl:10419/40171 [Handle] RePEc:zbw:cpqfwp:14 [RePEc]
Classification:	C63 - Computational Techniques ; F31 - Foreign Exchange ; G12 - Asset Pricing ; G32 - Financing Policy; Capital and Ownership Structure
Source:	EconStor

Persistent link: https://www.econbiz.de/10010301699