Pricing Multiasset Cross‐Currency Options

DOI Web Site Web Site 被引用文献2件 参考文献29件
  • Kenichiro Shiraya
    Kenichiro Shiraya is a PhD student and Akihiko Takahashi is a Professor at the Graduate School of Economics, University of Tokyo, Bunkyo‐ku, Tokyo, Japan.
  • Akihiko Takahashi
    Kenichiro Shiraya is a PhD student and Akihiko Takahashi is a Professor at the Graduate School of Economics, University of Tokyo, Bunkyo‐ku, Tokyo, Japan.

この論文をさがす

説明

<jats:p>This study develops a general pricing method for multiasset cross‐currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross‐currency options, cross‐currency basket options, and cross‐currency average options. Moreover, in practice, fast calibration is necessary in the option markets relevant for the underlying assets and the currency, which is also achieved in this study. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:1–19, 2014</jats:p>

収録刊行物

被引用文献 (2)*注記

もっと見る

参考文献 (29)*注記

もっと見る

関連プロジェクト

もっと見る

詳細情報 詳細情報について

問題の指摘

ページトップへ