An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737)
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scientific article; zbMATH DE number 5236597
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| 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; zbMATH DE number 5236597 |
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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0.9115912
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0.90904534
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0.9068681
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0.9040759
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0.9014965
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0.90142715
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0.8986241
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