FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
From MaRDI portal
Publication:3520539
DOI10.1142/S0219024908004853zbMath1152.91554OpenAlexW1523145195MaRDI QIDQ3520539
Akihiko Takahashi, Kohta 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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (7)
Asymptotic Expansion Approach in Finance ⋮ Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility ⋮ A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD ⋮ A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS ⋮ Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME ⋮ CCF approach for asymptotic option pricing under the CEV diffusion
Cites Work
- An asymptotic expansion scheme for optimal investment problems
- A new computational scheme for computing Greeks by the asymptotic expansion approach
- Interest rate models -- theory and practice. With smile, inflation and credit
- An asymptotic expansion approach to pricing financial contingent claims
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Stochastic calculus of variations in mathematical finance.
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Pricing contingent claims with credit risk: asymptotic expansion approach
- The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Arbitrage Theory in Continuous Time
This page was built for publication: FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
