Closed Form Approximations of European Options on Cross Currency Swaps

Seppälä Heikki, Ser-Huang Poon, Thomas Schröder

Research output: Preprint/Working paper › Working paper

Original language	English
Publication status	Published - 2013

Name	Social Science Research Network

Keywords

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title = "Closed Form Approximations of European Options on Cross Currency Swaps",

keywords = "Cross currency basis swap, swaption, expected exposure, dynamic spread",

author = "Sepp{\"a}l{\"a} Heikki and Ser-Huang Poon and Thomas Schr{\"o}der",

year = "2013",

language = "English",

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AU - Heikki, Seppälä

AU - Poon, Ser-Huang

AU - Schröder, Thomas

PY - 2013

Y1 - 2013

KW - Cross currency basis swap, swaption, expected exposure, dynamic spread

M3 - Working paper

T3 - Social Science Research Network

BT - Closed Form Approximations of European Options on Cross Currency Swaps

ER -