An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
Duy-Minh Dang, Christina C. Christara, Kenneth R. Jackson and Asif Lakhany
| Year of publication: |
June 2015
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|---|---|
| Authors: | Dang, Duy Minh ; Christara, Christina C. ; Jackson, Kenneth R. ; Lakhany, Asif |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 18.2014/2015, 4, p. 39-93
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| Subject: | power-reverse dual-currency swaps | target redemption | knockout | partial differential equation | finite differences | alternating direction implicit | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Derivat | Derivative | Währungsderivat | Currency derivative | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011441260