Showing 2018Show all
2 papers · 1 filter
q-fin.MF2018
Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method
Julien Hok, Shih-Hau Tan
Long maturity options or a wide class of hybrid products are evaluated using a local volatility type modelling for the asset price S(t) with a stochastic interest rate r(t). The ca…
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…