• 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