Quanto Implied Correlation in a Multi-Lévy Framework

Laura Ballota, Griselda Deelstra and Grégory Rayée

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Keywords: FX Risk; implied correlation; multivariate Lévy Processes; quanto products; varaiance gamma proces (search for similar items in EconPapers)
JEL-codes: C63 D52 G12 G13 (search for similar items in EconPapers)
Pages: 25 p.
Date: 2015-10
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