Endnote export
%T A Cross-Currency Lévy Market Model %A Eberlein, Ernst Wilhelm %A Koval, Nataliya %J Quantitative Finance %N 6 %P 465-480 %V 6 %D 2006 %K Foreign Exchange Markets; Non-Gaussian Option Pricing; Interest Rate Derivatives; LIBOR Market Models; Fixed Income Derivatives; Swap Pricing; Derivative Pricing Models; Levy Process %= 2011-03-15T10:04:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-220866 %X The Lévy Libor or market model which was introduced in Eberlein and Özkan (2005) is extended to a multi-currency setting. As an application we derive closed form pricing formulas for cross-currency derivatives. Foreign caps and floors, cross-currency swaps and quanto caplets are studied in detail. Numerically efficient pricing algorithms based on bilateral Laplace transforms are derived. A calibration example is given for a two-currency setting (EUR, USD). %C GBR %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info