Expansion method for pricing foreign exchange options under stochastic volatility and interest rates
Kenji Nagami
| Year of publication: |
2021
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|---|---|
| Authors: | Nagami, Kenji |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2021, 2, p. 29-50
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| Subject: | asymptotic expansion | Malliavin calculus | Heston-Hull-White model | stochastic volatility | stochastic interest rate | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Zins | Interest rate | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2021.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012938885