An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates
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Volume (Year): 14 (2007)
Issue (Month): 1 (March)
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- Erik Schlögl, 2002.
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- Akihiko Takahashi & Kohta Takehara, 2007. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-497, CIRJE, Faculty of Economics, University of Tokyo.
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- Kaushik I. Amin & Robert A. Jarrow, 2008. "Pricing foreign currency options under stochastic interest rates," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 14, pages 307-326 World Scientific Publishing Co. Pte. Ltd..
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- Atsushi Kawai, 2003. "A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(1), pages 49-74.
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- Mikkelsen, Peter, 2001. "Cross-Currency LIBOR Market Models," Finance Working Papers 01-6, University of Aarhus, Aarhus School of Business, Department of Business Studies. Full references (including those not matched with items on IDEAS)
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