An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates
| Year of publication: |
2007
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|---|---|
| Authors: | Takahashi, Akihiko ; Takehara, Kohta |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 14.2007, 1, p. 69-121
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| Publisher: |
Springer |
| Subject: | Asymptotic expansion | Currency options | Libor market model | Malliavin calculus | Stochastic volatility |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005727116