FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS

DOI10.1142/S0219024908004853zbMath1152.91554OpenAlexW1523145195MaRDI QIDQ3520539

Akihiko Takahashi, Kohta Takehara

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908004853

Mathematics Subject Classification ID

Related Items (7)

Asymptotic Expansion Approach in Finance ⋮ Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility ⋮ A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD ⋮ A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS ⋮ Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME ⋮ CCF approach for asymptotic option pricing under the CEV diffusion

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