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CPQF Working Paper Series, Frankfurt School of Finance and Management >
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http://hdl.handle.net/10419/40171
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| Title: | | FX basket options  |
| 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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