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Title:FX basket options PDF Logo
Authors:Hakala, Jürgen
Wystup, Uwe
Issue Date:2008
Series/Report no.:CPQF Working Paper Series 14
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.
Subjects:Foreign Exchange Optios
Basket Options
Correlation Risk
Volatility Smile Modelling
Ito-Taylor Expansion
JEL:C63
F31
G12
G32
Document Type:Working Paper
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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