The pricing of Asian options under stochastic interest rates (Q4342180): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Pricing Options On Risky Assets In A Stochastic Interest Rate Economy<sup>1</sup> / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Changes of numéraire, changes of probability measure and option pricing / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Equity-linked life insurance: A model with stochastic interest rates / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: An equilibrium characterization of the term structure / rank | |||
Normal rank | |||
Latest revision as of 17:11, 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)
0 references
3 July 1997
0 references
forward risk adjusted measure
0 references
stochastic interest rates
0 references
pricing of Asian options
0 references
Monte Carlo simulation
0 references
