The pricing of Asian options under stochastic interest rates (Q4342180): Difference between revisions
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| Property / cites work: Pricing Options On Risky Assets In A Stochastic Interest Rate Economy<sup>1</sup> / rank | |||
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| Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank | |||
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| Property / cites work: Changes of numéraire, changes of probability measure and option pricing / rank | |||
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| Property / cites work: Equity-linked life insurance: A model with stochastic interest rates / rank | |||
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| Property / cites work: An equilibrium characterization of the term structure / rank | |||
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Latest revision as of 16:11, 27 May 2024
scientific article; zbMATH DE number 1028953
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of Asian options under stochastic interest rates |
scientific article; zbMATH DE number 1028953 |
Statements
The pricing of Asian options under stochastic interest rates (English)
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3 July 1997
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forward risk adjusted measure
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stochastic interest rates
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pricing of Asian options
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Monte Carlo simulation
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