An Asymptotic FX Option Formula in the Cross Currency Libor Market Model

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Articles

An Asymptotic FX Option Formula in the Cross Currency Libor Market Model

23rd January 2019 Editor 0

In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. We first apply […]

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