Quanto Implied Correlation in a Multi-Lévy Framework
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|Date of creation:||Oct 2015|
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- Atanasov, Victoria & Nitschka, Thomas, 2015.
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- Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
- 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. Full references (including those not matched with items on IDEAS)
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