An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 14 (2007)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: http://springerlink.metapress.com/link.asp?id=102851 |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
- Miltersen, K. & K. Sandmann & D. Sondermann, 1994.
"Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates,"
Discussion Paper Serie B
308, University of Bonn, Germany.
- Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-30, March.
- 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.
- Hilliard, Jimmy E. & Madura, Jeff & Tucker, Alan L., 1991. "Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(02), pages 139-151, June.
- Akihiko Takahashi & Nakahiro Yoshida, 2005. "Monte Carlo Simulation with Asymptotic Method," CIRJE F-Series CIRJE-F-335, CIRJE, Faculty of Economics, University of Tokyo.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Erik Schlögl, 1999.
"A Multicurrency Extension of the Lognormal Interest Rate Market Models,"
Research Paper Series
20, Quantitative Finance Research Centre, University of Technology, Sydney.
- Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Naoto Kunitomo & Yong-Jin Kim, 2007. "Effects Of Stochastic Interest Rates And Volatility On Contingent Claims," The Japanese Economic Review, Japanese Economic Association, vol. 58(1), pages 71-106.
- Akihiko Takahashi & Nakahiro Yoshida, 2004. "An Asymptotic Expansion Scheme for Optimal Investment Problems," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 153-188, May.
- Angelo Melino & Stuart M. Turnbull, 1991. "The Pricing of Foreign Currency Options," Canadian Journal of Economics, Canadian Economics Association, vol. 24(2), pages 251-81, May.
- Mikkelsen, Peter, 2001. "Cross-Currency LIBOR Market Models," Finance Working Papers 01-6, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- 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.
- Yoshifumi Muroi, 2005. "Pricing contingent claims with credit risk: Asymptotic expansion approach," Finance and Stochastics, Springer, vol. 9(3), pages 415-427, 07.
- Amin, Kaushik I. & Jarrow, Robert A., 1991. "Pricing foreign currency options under stochastic interest rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 310-329, September.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Takao Kobayashi & Akihiko Takahashi & Norio Tokioka, 2003. "Dynamic Optimality of Yield Curve Strategies-super-," International Review of Finance, International Review of Finance Ltd., vol. 4(1-2), pages 49-78.
When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:14:y:2007:i:1:p:69-121. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.