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
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
Journal title :
Computers and Mathematics with Applications