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Cross-currency options: a probability density approach G. TURINICI CEREMADE, Université Paris Dauphine Place du Marechal de Lattre de Tassigny, PARIS 75016 We investigate in this work the numerical computation of cross-currency FOREX options. The value of the options are computed through a 2D Black&Scholes equation. The independent variables are the quotation of each currency in the pair with respect to a third, base, currency. Among the possible representation of the price we choose to work with the risk-neutral probability density in the spirit of previous works by O. Pironneau and collaborators. This enables to computes in a single 2D-PDE solve a full set of prices. The purpose of this presentation is to discuss the numerical and theoretical aspects of this procedure.
