The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note (Q4215695): Difference between revisions
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Latest revision as of 21:52, 19 March 2024
scientific article; zbMATH DE number 1215611
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note |
scientific article; zbMATH DE number 1215611 |
Statements
The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note (English)
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29 November 1998
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change of numeraire technique
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Geske-formula for compound options
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stochastic interest rates
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future-style option
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