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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- 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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