We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We consider the partial differential equation satisfied by the price of the cross-currency option and see that the most important specifications to set are the boundary conditions. We explain how these conditions can be approximated and test the validity of the approximation on simple cases.
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Paper provided by HAL in its series Working Papers with number
hal-00351016_v1.
Length: Date of creation: 08 Jan 2009 Date of revision: Handle: RePEc:hal:wpaper:hal-00351016_v1
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