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Cross-currency smile calibration

Journal article published in 2009 by Gabriel Turinici ORCID, Marc Laillat
This paper is available in a repository.
This paper is available in a repository.

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Question mark in circle
Preprint: policy unknown
Question mark in circle
Postprint: policy unknown
Question mark in circle
Published version: policy unknown

Abstract

We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We consider the partial differential equation satisfied by the price of the cross-currency option and see that the most important specifications to set are the boundary conditions. We explain how these conditions can be approximated and test the validity of the approximation on simple cases.