"Multivariate FX models with jumps: Triangles, Quantos and implied correlation."

Laura Ballotta, Griselda Deelstra, Grégory Rayée (2017)

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DOI: 10.1016/J.EJOR.2017.02.018

access: closed

type: Journal Article

metadata version: 2020-02-21

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Laura Ballotta, Griselda Deelstra, Grégory Rayée:
Multivariate FX models with jumps: Triangles, Quantos and implied correlation. Eur. J. Oper. Res. 260(3): 1181-1199 (2017)

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