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
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 08:16, 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)
0 references
18 February 2008
0 references
asymptotic expansion
0 references
currency options
0 references
Libor market model
0 references
Malliavin calculus
0 references
stochastic volatility
0 references
