A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 69-121, March.
- Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-621, CIRJE, Faculty of Economics, University of Tokyo.
- Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki, 2010. "Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models," CARF F-Series CARF-F-214, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Xu, Guoping & Zheng, Harry, 2010. "Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 415-422, December.
- Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
More about this item
KeywordsLibor Market Model; Swaptions; Asymptotic Expansion; Monte Carlo Simulation; Volatility Skews;
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