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
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s10690-007-9054-9 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2045475195 / rank | |||
Normal rank | |||
Revision as of 19:00, 19 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
