A model for long term foreign exchange options

Davveta, Anna; Felice, Gian Marco; Hakala, Jürgen; Wystup, Uwe

Publication

Title				A model for long term foreign exchange options

Author				Davveta, Anna Felice, Gian Marco Hakala, Jürgen Wystup, Uwe

Language				English

Source (book)				Foreign exchange risk : models, instruments and strategies. - London, 2002

Publication				London : Risk Publications, 2002

ISBN				1-899332-37-5

Volume/pages

IR - Boek naar hoofdstuk				Valuation of options in Heston's stochastic volatility model using finite element methods / Winkler, Gunter. - London, 2002 How the Greeks would have hedged correlation risk of foreign exchange options / Wystup, Uwe. - London, 2002 Dealing with dangerous digitals / Schmock, Uwe. - London, 2002 Efficient computation of option price sensitivities using homogeneity and other tricks / Reiß, Oliver. - London, 2002 Monte Carlo simulations and variance reduction techniques / Hakala, Jürgen. - London, 2002 Quasi random numbers and their application to pricing basket and lookback options / Hakala, Jürgen. - London, 2002 Vanilla options / Wystup, Uwe. - London, 2002 Volatility management / Wystup, Uwe. - London, 2002 The pricing of first generation exotics / Hakala, Jürgen. - London, 2002 Binomial trees in one and two dimensions / Schneider, Ingo. - London, 2002 Fast Fourier method for the valuation of options on several correlated currencies / Andreas, Annette. - London, 2002 Heston's stochastic volatility model applied to foreign exchange options / Hakala, Jürgen. - London, 2002 A model for long term foreign exchange options / Davveta, Anna. - London, 2002

UAntwerpen

Faculty/Department				Faculty of Sciences. Mathematics and Computer Science

Publication type				H3 Book chapter

Subject				Mathematics

External links

Record

Identification

Creation				03.03.2015

Last edited				06.03.2018