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q-fin.PR2018
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Julien Hok, Philip Ngare, Antonis Papapantoleon
We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR ra…
q-fin.PR2014
Utility indifference pricing of derivatives written on industrial loss indexes
Gunther Leobacher, Philip Ngare
We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson p…