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, 69-121

Keywords: Asymptotic expansion; Currency options; Libor market model; Malliavin calculus; Stochastic volatility (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10690-007-9054-9

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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