Pricing of Options Exposed to Cross-Currency Rates Sebastian Jaimungal University of Toronto Dmitri H. Rubisov - Black–Karasinski model - Document - PDFSEARCH.IO

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	Pricing of Options Exposed to Cross-Currency Rates Sebastian Jaimungal University of Toronto Dmitri H. Rubisov Add to Reading List Document Date: 2010-06-21 10:43:06 Open Document File Size: 888,68 KB Share Result on Facebook Company 3M / BMO Capital Markets / / Facility Cross-Currency Rates Sebastian Jaimungal University of Toronto Dmitri H. Rubisov BMO Capital Markets June / / IndustryTerm crude oil / / Organization University of Toronto / / / Position producer / forward / / Product Kou / / Technology ATM / CAD / / SocialTag Investment Stochastic volatility Heston model Implied volatility Volatility smile Volatility Option Black–Karasinski model Local volatility Mathematical finance

Pricing of Options Exposed to Cross-Currency Rates Sebastian Jaimungal University of Toronto Dmitri H. RubisovAdd to Reading List