Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40171
Authors: 
Hakala, Jürgen
Wystup, Uwe
Year of Publication: 
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

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