dc.contributor.author | Eberlein, Ernst Wilhelm | de |
dc.contributor.author | Koval, Nataliya | de |
dc.date.accessioned | 2011-02-23T03:39:00Z | de |
dc.date.accessioned | 2012-08-29T23:07:45Z | |
dc.date.available | 2012-08-29T23:07:45Z | |
dc.date.issued | 2006 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/22086 | |
dc.description.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). | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Foreign Exchange Markets; Non-Gaussian Option Pricing; Interest Rate Derivatives; LIBOR Market Models; Fixed Income Derivatives; Swap Pricing; Derivative Pricing Models; Levy Process | |
dc.title | A Cross-Currency Lévy Market Model | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 6 | de |
dc.publisher.country | GBR | |
dc.source.issue | 6 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Political Economy | en |
dc.subject.classoz | Volkswirtschaftslehre | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-220866 | de |
dc.date.modified | 2011-03-15T10:04:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 465-480 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 1090300 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680600818791 | de |
dc.subject.methods | Theorieanwendung | de |
dc.subject.methods | theory application | en |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.methods | 15 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |