Pricing Multiasset Cross‐Currency Options |
| |
| Authors: | Kenichiro Shiraya Akihiko Takahashi |
| |
| Institution: | Kenichiro Shiraya is a PhD student and Akihiko Takahashi is a Professor at the Graduate School of Economics, University of Tokyo, Bunkyo‐ku, Tokyo, Japan. |
| |
| Abstract: | This study develops a general pricing method for multiasset cross‐currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross‐currency options, cross‐currency basket options, and cross‐currency average options. Moreover, in practice, fast calibration is necessary in the option markets relevant for the underlying assets and the currency, which is also achieved in this study. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:1–19, 2014 |
| |
| Keywords: | |
|
|
