TAKAHASHI, AKIHIKO; TAKEHARA, KOHTA - In: International Journal of Theoretical and Applied … 11 (2008) 04, pp. 381-401
This paper develops a Fourier transform method with an asymptotic expansion approach for option pricing. The method is applied to European currency options with a libor market model of interest rates and jump-diffusion stochastic volatility models of spot exchange rates. In particular, we derive...