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A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options

A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2010-04Discussion paper series. CIRJE-FCIRJE-F-734
Other Libraries in Japan
  • Subject HeadingCurrency option libor market model stochastic...

A General Computation Scheme for a High-Order Asymptotic Expansion Method

A General Computation Scheme for a High-Order Asymptotic Expansion Method
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta, Toda, Masashi日本経済国際共同センター2011-02Discussion paper series. CIRJE-FCIRJE-F-787
Other Libraries in Japan
  • Subject Heading...r Market Model Currency Options

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

Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2008-01Discussion paper series. CIRJE-FCIRJE-F-538
Other Libraries in Japan
  • Subject HeadingCurrency option libor market model stochastic...

Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options

Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options
Paper文書・図像類
Takehara, Kohta, Toda, Masashi, Takahashi, Akihiko日本経済国際共同センター2010-07Discussion paper series. CIRJE-FCIRJE-F-753
Other Libraries in Japan
  • Subject Heading...r Market Model Currency Options JEL Classification: C63, G13

Asymptotic Expansion Approaches in Finance: Applications to Currency Options

Asymptotic Expansion Approaches in Finance: Applications to Currency Options
Paper文書・図像類
Takahashi, Akihiko, Takehara, Kohta日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-654
Other Libraries in Japan
  • Subject Heading...otic Expansion Currency Options Libor Market Model Stochasti...

New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme

New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme
Paper文書・図像類
Takehara, Kohta, Takahashi, Akihiko, Toda, Masashi日本経済国際共同センター2010-03Discussion paper series. CIRJE-FCIRJE-F-728
Other Libraries in Japan
  • Subject Heading...r Market Model Currency Options AMS Subject Classifications:...

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