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} v=0; for(n=t; n<N;n++) { lam=sigma[(n-t)*m+i-1]; v = v+(delta*F[n]*lam)/(1+delta*F[n]); F[n]=F[n]*exp((-lam/2+v)*lam*epsilon +lam*sqrt(epsilon)*z[i-1]); } } discount=discount*(1+delta*F[t]); for(i=0;i<t+1;i++) { v=0; for(j=1;j<t+1;j++) { v += zz[j-1]*am1[j][i]; } sen=B*delta*indicator(F[t]-K[t],0)/discount*v/sqrt(epsilon)-0.2*v; res[t][i]+=sen; res[N-t][N+1-i]+=sen*sen; }

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Now, apply Ylvisaker s Theorem 1.21 to prove that the expression above tends to zero as h 0, which proves the continuity of P{Au (Xt , t )}. Similar arguments can be applied to prove that each of the three terms on the right-hand side of (7.8) is a continuous function of u. Our next lemma is the basic technical tool to prove the fundamental Theorem 7.3. Lemma 7.7. Suppose that Z = {Z(t) : t [0, 1]} is a stochastic process that veri es H2 . De ne I Fv (u) = E v .1Au , where Au = Au (Z, ) = {Z(t) (t)u for all t [0, 1]}, ( ) is a real-valued C 2 -function de ned on [0, 1], and v = G(Z(t1 ) (t1 )v, . . . , Z(tm ) (tm )v) for some positive integer m, t1 , . . . , tm [0, 1] , v R and some C -function G : Rm R having at most polynomial growth at , that is, | G(x) | C(1+ x p ) for some positive constants C and p and all x Rm . Then, for each v R, Fv is of class C 1 and its derivative is a continuous function of the pair (u, v), which can be written in the form

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and showed that the foreign drift rate (using the change of drift formula) is approximated by minus the instantaneous covariance of lnM2 (t) and ln Sf so that P f (t , T ) f = d ln(S f )d ln P(t , T ) = F ,f f F where F is the (assumed constant) proportional volatility of the process F , and F, f is the instantaneous correlation between the foreign exchange rate F and the foreign swap rate Sf.27 (We have assumed the exchange rate (t) to be 1 for simplifying the drift computation.) It can be shown see Brigo and Mercurio (2001c) for details using the fact that under QC, the joint distribution of S f (T ) S(T ) ln f , ln S(t) S (t) conditional on t is bivariate normal, that taking this expectation leads to the unique arbitrage-free price of the quanto swaption

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