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FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
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  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit737 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
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  • 1994A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON250 cited
  • 2006Stochastic Calculus of Variations in Mathematical Finance161 cited
  • 1999An Asymptotic Expansion Approach to Pricing Financial Contingent Claims141 cited
  • 2001The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

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135 cited
  • 1992Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe123 cited
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    • 2010A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS21 cited