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
|
---|---|
Authors: | Takahashi, Akihiko ; Takehara, Kohta |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 14.2007, 1, p. 69-121
|
Publisher: |
Springer |
Subject: | Asymptotic expansion | Currency options | Libor market model | Malliavin calculus | Stochastic volatility |
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