FX basket options

Jürgen Hakala and Uwe Wystup

No 14, CPQF Working Paper Series from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF)

Abstract: We explain the valuation and correlation hedging of Foreign Exchange Basket Options in a multi-dimensional Black-Scholes model that allows including the smile. The technique presented is a fast analytic approximation to an accurate solution of the valuation problem.

Keywords: Foreign Exchange Optios; Basket Options; Correlation Risk; Volatility Smile Modelling; Ito-Taylor Expansion (search for similar items in EconPapers)
JEL-codes: C63 F31 G12 G32 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/40171/1/578520907.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cpqfwp:14

Access Statistics for this paper

More papers in CPQF Working Paper Series from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).