A Cross-Currency Lévy Market Model

Eberlein, Ernst Wilhelm; Koval, Nataliya

Bibtex export

@article{ Eberlein2006,
 title = {A Cross-Currency Lévy Market Model},
 author = {Eberlein, Ernst Wilhelm and Koval, Nataliya},
 journal = {Quantitative Finance},
 number = {6},
 pages = {465-480},
 volume = {6},
 year = {2006},
 doi = {https://doi.org/10.1080/14697680600818791},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-220866},
 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).},
}