FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
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Publication:3520539
DOI10.1142/S0219024908004853zbMATH Open1152.91554OpenAlexW1523145195MaRDI QIDQ3520539FDOQ3520539
Authors: Akihiko Takahashi, K. Takehara 
Publication date: 26 August 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024908004853
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Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Arbitrage Theory in Continuous Time
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Interest rate models -- theory and practice. With smile, inflation and credit
- The Market Model of Interest Rate Dynamics
- An asymptotic expansion approach to pricing financial contingent claims
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Stochastic calculus of variations in mathematical finance.
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- An asymptotic expansion scheme for optimal investment problems
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- A new computational scheme for computing Greeks by the asymptotic expansion approach
- A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
- Pricing contingent claims with credit risk: asymptotic expansion approach
Cited In (9)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
- Fast Fourier transform approximation of foreign currency option pricing based on exponential Levy model
- CCF approach for asymptotic option pricing under the CEV diffusion
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
- A general computation scheme for a high-order asymptotic expansion method
- Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
- Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
- Asymptotic expansion approach in finance
- Note on an extension of an asymptotic expansion scheme
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