An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737): Difference between revisions
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Revision as of 07:16, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates |
scientific article |
Statements
An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (English)
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18 February 2008
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asymptotic expansion
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currency options
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Libor market model
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Malliavin calculus
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stochastic volatility
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