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Pricing Multiasset Cross-Currency Options

Authors

  • Kenichiro Shiraya,

    Corresponding author
    1. Kenichiro Shiraya is a PhD student and Akihiko Takahashi is a Professor at the Graduate School of Economics, University of Tokyo, Bunkyo-ku, Tokyo, Japan.
    • Correspondence author, Graduate School of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo, Japan. Tel: 81-3-4232-2632, Fax: 81-3-3261-1431, e-mail: kenichiro.shiraya@gmail.com

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  • Akihiko Takahashi

    1. Kenichiro Shiraya is a PhD student and Akihiko Takahashi is a Professor at the Graduate School of Economics, University of Tokyo, Bunkyo-ku, Tokyo, Japan.
    Search for more papers by this author

  • We are very grateful to two anonymous referees for their precious comments.

Abstract

This study develops a general pricing method for multiasset cross-currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross-currency options, cross-currency basket options, and cross-currency average options. Moreover, in practice, fast calibration is necessary in the option markets relevant for the underlying assets and the currency, which is also achieved in this study. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:1–19, 2014

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