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Pricing Multiasset Cross‐Currency Options
Author(s) -
Shiraya Kenichiro,
Takahashi Akihiko
Publication year - 2014
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21590
Subject(s) - currency , asset (computer security) , financial economics , foreign exchange risk , economics , virtual currency , business , monetary economics , computer science , computer security
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