A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
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Publication:3067160
DOI10.1142/S0219024910006169zbMath1206.91083OpenAlexW3121861658MaRDI QIDQ3067160
Akihiko Takahashi, Kohta Takehara
Publication date: 20 January 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024910006169
Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model ⋮ Asymptotic Expansion Approach in Finance ⋮ High order asymptotic expansion for Wiener functionals ⋮ An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME
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