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most citedCrop yield probability density forecasting via quantile random forest and Epanechnikov Kernel function

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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…