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?: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). (xsd:string)
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?:dateModified
  • 2006 (xsd:gyear)
?:datePublished
  • 2006 (xsd:gyear)
?:doi
  • 10.1080/14697680600818791 ()
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  • true (xsd:boolean)
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?:inLanguage
  • en (xsd:string)
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?:issueNumber
  • 6 (xsd:string)
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?:name
  • A Cross-Currency Lévy Market Model (xsd:string)
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  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 6, 2006, 6, 465-480 (xsd:string)
rdf:type
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?:urn
  • urn:nbn:de:0168-ssoar-220866 ()
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  • 6 (xsd:string)