Title of article
The valuation of foreign currency options under stochastic interest rates
Author/Authors
S. Choi ، نويسنده , , M. D. Marcozzi، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2003
Pages
9
From page
741
To page
749
Abstract
We consider the valuation of options written on a foreign currency when interest rates are stochastic and the matrix of the diffusion representing the global economy is strongly coercive. We solve the associated variational inequality for the value function numerically by the finite element method. In the European case, a comparison is made to the exact solution. The corresponding result for the American option is also presented.
Keywords
Corporate bonds , Foreign exchange options , Optimal stopping
Journal title
Computers and Mathematics with Applications
Serial Year
2003
Journal title
Computers and Mathematics with Applications
Record number
919836
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