Essays about: "FX risk"
Showing result 21 - 21 of 21 essays containing the words FX risk.
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21. FX BASKET OPTIONS - Approximation and Smile Prices
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Pricing a Basket option for Foreign Exchange (FX) both with Monte Carlo (MC) techniques and built on different approximation techniques matching the moments of the Basket option. The thesis is built on the assumption that each underlying FX spot can be represented by a geometric Brownian motion (GBM) and thus have log normally distributed FX returns. READ MORE