A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS |
scientific article |
Statements
A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (English)
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20 January 2011
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currency option
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libor market model
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stochastic volatility
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asymptotic expansion
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Monte Carlo simulation
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