Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options

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Note (General)：: application/pdfRevised Version of CIRJE-F-497; forthcoming in International Journal of Theoretical and Applied Finance;. Revised in February 2008.本文フィ...

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Material Type: 文書・図像類
Title: Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options
Author/Editor: Takahashi, Akihiko
Takehara, Kohta
Author Heading: Takahashi, Akihiko
Takehara, Kohta
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2008-01
Publication Date (W3CDTF): 2008-01
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: CIRJE-F-538
Volume: CIRJE-F-538
Text Language Code: eng
Subject Heading: Currency option
libor market model
stochastic volatility
asymptotic expansion
Fourier transform
NDC: 335
Target Audience: 一般
Note (General): application/pdf
Revised Version of CIRJE-F-497; forthcoming in International Journal of Theoretical and Applied Finance;. Revised in February 2008.
本文フィルはリンク先を参照のこと
Related Material (URI): URI
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2008/2008cf538ab.html
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 東京大学 : 東京大学学術機関リポジトリ