2008年6月
Fourier transform method with an asymptotic expansion approach: An application to currency options
International Journal of Theoretical and Applied Finance
- ,
- 巻
- 11
- 号
- 4
- 開始ページ
- 381
- 終了ページ
- 401
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1142/S0219024908004853
This paper develops a Fourier transform method with an asymptotic expansion approach for option pricing. The method is applied to European currency options with a libor market model of interest rates and jump-diffusion stochastic volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas of the characteristic functions of log-prices of the underlying assets and the prices of currency options based on a third order asymptotic expansion scheme
we use a jump-diffusion model with a mean-reverting stochastic variance process such as in Heston [7]/Bates [1] and log-normal market models for domestic and foreign interest rates. Finally, the validity of our method is confirmed through numerical examples. © 2008 World Scientific Publishing Company.
we use a jump-diffusion model with a mean-reverting stochastic variance process such as in Heston [7]/Bates [1] and log-normal market models for domestic and foreign interest rates. Finally, the validity of our method is confirmed through numerical examples. © 2008 World Scientific Publishing Company.
- ID情報
-
- DOI : 10.1142/S0219024908004853
- ISSN : 0219-0249
- SCOPUS ID : 46649105262