Pdf pricing long maturity equity and fx derivatives with


Furthermore we allow all driving model factors to be instantaneously correlated with each other, pricinh. we allow for a correlation between the instantaneous interest rates, the volatilities and the underlying stock returns. By deriving the characteristic function of the log-asset price distribution, we are able to price European stock options in closed-form by Fourier inversion. Furthermore we present a Foreign Exchange generalization and show how the pricing of Forward-starting options like cliqu.




Maturity long equity pricing fx derivatives and pdf with

Pdf pricing long maturity equity and fx derivatives with