February 17th, 2013, 4:03 pm
While one can do it in a straightforward way, using change-of numeraire technique, I was wondering if there are any finer points that may be missed or not fully accounted, besides items such as Quanto Adjustments in the Presence of Stochastic Volatility (see article by Giese) or Quanto adjustment to take into account the skew (see article by Jackel)
Last edited by
FinancialAlex on February 16th, 2013, 11:00 pm, edited 1 time in total.