IDEAS home Printed from https://ideas.repec.org/p/cfi/fseres/cf276.html
   My bibliography  Save this paper

Pricing Multi-Asset Cross Currency Options

Author

Listed:
  • Kenichiro Shiraya

    (Graduate School of Economics, University of Tokyo)

  • Akihiko Takahashi

    (Graduate School of Economics, University of Tokyo)

Abstract

This paper develops a general pricing method for multi-asset 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 paper. Furthermore, we investigate the implied correlations in the cross currency markets on the dates before and after the events, Lehman Shock and Tohoku Earthquake.

Suggested Citation

  • Kenichiro Shiraya & Akihiko Takahashi, 2012. "Pricing Multi-Asset Cross Currency Options," CARF F-Series CARF-F-276, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf276
    as

    Download full text from publisher

    File URL: http://www.carf.e.u-tokyo.ac.jp/pdf/workingpaper/fseries/288.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Akihiko Takahashi & Yukihiro Tsuzuki, 2014. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CIRJE F-Series CIRJE-F-917, CIRJE, Faculty of Economics, University of Tokyo.
    2. Akihiko Takahashi & Yukihiro Tsuzuki, 2014. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CARF F-Series CARF-F-341, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Akihiko Takahashi & Yukihiro Tsuzuki, 2014. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CARF F-Series CARF-F-350, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Akihiko Takahashi & Toshihiro Yamada, 2014. "This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More gene," CARF F-Series CARF-F-347, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2014.
    5. Akihiko Takahashi & Masashi Toda, 2012. "Note on an Extension of an Asymptotic Expansion Scheme," CIRJE F-Series CIRJE-F-860, CIRJE, Faculty of Economics, University of Tokyo.
    6. Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -- Application to Stochastic Volatility Model --," CIRJE F-Series CIRJE-F-897, CIRJE, Faculty of Economics, University of Tokyo.
    7. De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
    8. Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-," CARF F-Series CARF-F-324, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2014.
    9. Akihiko Takahashi & Masashi Toda, 2013. "Note on an Extension of an Asymptotic Expansion Scheme," CARF F-Series CARF-F-312, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cfi:fseres:cf276. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/catokjp.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.