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A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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Asymptotic analysis for foreign exchange derivatives with stochastic volatility
Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147
Persistent link: https://www.econbiz.de/10008906191
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Forward and future implied volatility
Glasserman, Paul; Wu, Qi - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 407-432
Persistent link: https://www.econbiz.de/10009154904
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Pricing multiasset cross-currency options
Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 34 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
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Valuation of long-maturity KIKO options under the stochastic volatility model
Lee, Joon-haeng; Song, Junmo - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 492-529
Persistent link: https://www.econbiz.de/10010407444
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Implementation of local stochastic volatility model in FX derivatives
Zheng, J.; Yuan, X. - In: Applied quantitative finance, (pp. 57-69). 2017
Persistent link: https://www.econbiz.de/10011794953