AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES (Q5265241): Difference between revisions

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Latest revision as of 13:50, 10 July 2024

scientific article; zbMATH DE number 6463514
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English
AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
scientific article; zbMATH DE number 6463514

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    AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES (English)
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    23 July 2015
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    hybrid equity model
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    Hull-White model
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    local volatility model
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    Wiener-Itô chaos expansion
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