A Cross-Currency Lévy Market Model

Eberlein, Ernst Wilhelm; Koval, Nataliya

[journal article]

dc.contributor.author	Eberlein, Ernst Wilhelm	de
dc.contributor.author	Koval, Nataliya	de
dc.date.accessioned	2011-02-23T03:39:00Z	de
dc.date.accessioned	2012-08-29T23:07:45Z
dc.date.available	2012-08-29T23:07:45Z
dc.date.issued	2006	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22086
dc.description.abstract	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).	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Foreign Exchange Markets; Non-Gaussian Option Pricing; Interest Rate Derivatives; LIBOR Market Models; Fixed Income Derivatives; Swap Pricing; Derivative Pricing Models; Levy Process
dc.title	A Cross-Currency Lévy Market Model	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	6	de
dc.publisher.country	GBR
dc.source.issue	6	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Political Economy	en
dc.subject.classoz	Volkswirtschaftslehre	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-220866	de
dc.date.modified	2011-03-15T10:04:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	465-480
internal.identifier.classoz	10905
internal.identifier.classoz	1090300
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680600818791	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Volkswirtschaftslehre (allgemein)
Political Economy (general)
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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