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- W3137179932 abstract "We present a hybrid Heston local correlation model for pricing multi-dimensional FX derivatives. The model is symmetric under inversion and triangulation and yields prices that are consistent with the one-dimensional vanilla markets of both main and cross FX rates. Irrespective of the choice of numeraire, the model retains its functional form. Important for practitioners, the model is easy to calibrate and can be scaled to any desired dimensionality, i.e., it can include an arbitrary amount of FX rates. The strength of the model pricing both typical terminal and path-dependent options such as worst-ofs, quanto double no-touches, and third currency barrier options is shown in test results comparing the Heston local correlation model to other multi-dimensional FX models." @default.
- W3137179932 created "2021-03-29" @default.
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- W3137179932 date "2014-05-21" @default.
- W3137179932 modified "2023-09-23" @default.
- W3137179932 title "Pricing Multi-Dimensional FX Derivatives Via Stochastic Local Correlations" @default.
- W3137179932 hasPublicationYear "2014" @default.
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