A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160): Difference between revisions

@@ Property / cites work @@
+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Financial modeling in a fast mean-reverting stochastic volatility environment
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
+Normal rank
@@ Property / cites work @@
+The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
@@ Property / cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE / rank @@
+Normal rank
@@ Property / cites work @@
+Lookback options and diffusion hitting times: a spectral expansion approach
+Normal rank
@@ Property / cites work @@
+The spectral representation of Bessel processes with constant drift: applications in queueing and finance
+Normal rank
@@ Property / cites work @@
+Stochastic calculus of variations in mathematical finance.
+Normal rank
@@ Property / cites work @@
+A new computational scheme for computing Greeks by the asymptotic expansion approach
+Normal rank
@@ Property / cites work @@
+Pricing contingent claims with credit risk: asymptotic expansion approach
+Normal rank
@@ Property / cites work @@
+Variance Reduction for Simulated Diffusions
@@ Property / cites work: Variance Reduction for Simulated Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Model with Time‐dependent Skew
+Normal rank
@@ Property / cites work @@
+An asymptotic expansion approach to pricing financial contingent claims
+Normal rank
@@ Property / cites work @@
+An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
+Normal rank
@@ Property / cites work @@
+FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
+Normal rank
@@ Property / cites work @@
+An asymptotic expansion scheme for optimal investment problems
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024910006169
+Normal rank
@@ Property / OpenAlex ID @@
+W3121861658
@@ Property / OpenAlex ID: W3121861658 / rank @@
+Normal rank