The valuation of foreign currency options under stochastic interest rates

DOI10.1016/S0898-1221(03)90138-6zbMath1073.91029MaRDI QIDQ597318

Sumit K. Garg

Publication date: 6 August 2004

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Optimal stoppingCorporate bondsForeign exchange options

Mathematics Subject Classification ID

Related Items (5)

A computationally efficient numerical approach for multi-asset option pricing ⋮ Stabilized explicit Runge-Kutta methods for multi-asset American options ⋮ Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty ⋮ Penalty methods for the numerical solution of American multi-asset option problems ⋮ Unnamed Item

Uses Software

• AS 195

Cites Work

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• Monotone multigrid methods for elliptic variational inequalities. II
• Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Adaptive Multilevel Methods for Obstacle Problems
• Bimatrix Equilibrium Points and Mathematical Programming
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation

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