Pricing derivatives with barriers in a stochastic interest rate environment (Q844767)

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English	Pricing derivatives with barriers in a stochastic interest rate environment	scientific article

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scholarly article

Pricing derivatives with barriers in a stochastic interest rate environment (English)

François Quittard-Pinon

Olivier Le Courtois

Journal of Economic Dynamics \& Control

publication date

19 January 2010

zbMATH Keywords

change of numéraire

Vasicek model

barrier option

Markovian approximation

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1016/j.jedc.2007.11.004

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Identifiers

zbMATH Open document ID

10.1016/j.jedc.2007.11.004

Mathematics Subject Classification ID

zbMATH DE Number

Sitelinks

Mathematics(1 entry)

mardi Publication:844767

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