An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates

Akihiko Takahashi () and Kohta Takehara

Asia-Pacific Financial Markets, 2007, vol. 14, issue 1, pages 69-121

Keywords: Asymptotic expansion; Currency options; Libor market model; Malliavin calculus; Stochastic volatility (search for similar items in EconPapers)

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