Bibliographic Details
| Title: |
Pricing Multiasset Cross-Currency Options. |
| Authors: |
Shiraya, Kenichiro1, Takahashi, Akihiko1 |
| Source: |
Journal of Futures Markets. Jan2014, Vol. 34 Issue 1, p1-19. 19p. |
| Subject Terms: |
*Options (Finance), *Pricing, *Liquidity (Economics), *Assets (Accounting), *Money market, *Stock options, *Money supply |
| 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 [ABSTRACT FROM AUTHOR] |
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| Database: |
Business Source Complete |
