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Cited by 2 publications
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“…(8) and verifying that the PDE is satisfied. As with Proposition II, Proposition V has considerable practical value for pricing cross-currency exchange swaptions and can be adapted to pricing cross-currency warrants (e.g., see Dravid, Richardson, and Sun, 1994).…”
Section: Proposition V: the Lognormal Exchange Option With Unequal DImentioning
confidence: 98%
“…(8) and verifying that the PDE is satisfied. As with Proposition II, Proposition V has considerable practical value for pricing cross-currency exchange swaptions and can be adapted to pricing cross-currency warrants (e.g., see Dravid, Richardson, and Sun, 1994).…”
Section: Proposition V: the Lognormal Exchange Option With Unequal DImentioning
confidence: 98%
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