Quanto Implied Correlation in a Multi-Lévy Framework
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More about this item
KeywordsFX Risk; implied correlation; multivariate Lévy Processes; quanto products; varaiance gamma proces;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-12-08 (All new papers)
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