FX basket options

Jürgen Hakala, Uwe Wystup

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.

MoreLess

Year of publication:	2008
Authors:	Hakala, Jürgen ; Wystup, Uwe
Publisher:	Frankfurt, M. : Frankfurt School of Finance & Management
Subject:	Foreign Exchange Optios \| Basket Options \| Correlation Risk \| Volatility Smile Modelling \| Ito-Taylor Expansion \| Devisenoption \| Currency option \| Optionspreistheorie \| Option pricing theory \| Theorie \| Theory

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	Online-Ressource (11 S.) graph. Darst.
Series:	Working paper series / Centre for Practical Quantitative Finance. - Frankfurt, Main : Frankfurt School of Finance & Management, ZDB-ID 2490795-9. - Vol. 14
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: PDF-Reader
Other identifiers:	hdl:10419/40171 [Handle]
Classification:	C63 - Computational Techniques ; F31 - Foreign Exchange ; G12 - Asset Pricing ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011293924