FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
Year of publication: |
2008
|
---|---|
Authors: | TAKAHASHI, AKIHIKO ; TAKEHARA, KOHTA |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 11.2008, 04, p. 381-401
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Currency option | libor market model | stochastic volatility | asymptotic expansion | Fourier transform |
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