Yukio Nakashima

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Multi-Currency Local Volatility Model

Number of pages: 37 Posted: 30 Jun 2008 Last Revised: 24 Sep 2008
Daniel Alexandre Bloch and Yukio Nakashima
Université Paris VI Pierre et Marie Curie and affiliation not provided to SSRN
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Abstract:

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Local Volatility, Cross-Currency, Stochastic Rates, FX options, Malliavin Calculus, Calibration