Eberlein, Ernst; Koval, Nataliya - In: Quantitative Finance 6 (2006) 6, pp. 465-480
The Levy Libor or market model which was introduced in Eberlein and Ozkan (The Levy Libor model. Financ. Stochast., 2005, 9, 327-348) is extended to a multi-currency setting. As an application we derive closed form pricing formulas for cross-currency derivatives. Foreign caps and floors and...