An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates

DOI10.1007/s10690-007-9054-9zbMath1151.91545OpenAlexW2045475195MaRDI QIDQ2471737

Kohta Takehara, Akihiko Takahashi

Publication date: 18 February 2008

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9054-9

zbMATH Keywords

asymptotic expansionstochastic volatilityMalliavin calculuscurrency optionsLibor market model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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