The pricing of vulnerable options with double Mellin transforms (Q465177): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G40 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 44A15 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6362850 / rank | |||
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| Property / zbMATH Keywords | |||
vulnerable option | |||
| Property / zbMATH Keywords: vulnerable option / rank | |||
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| Property / zbMATH Keywords | |||
double Mellin transform | |||
| Property / zbMATH Keywords: double Mellin transform / rank | |||
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| Property / zbMATH Keywords | |||
Mellin convolution | |||
| Property / zbMATH Keywords: Mellin convolution / rank | |||
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Hull-White interest rates | |||
| Property / zbMATH Keywords: Hull-White interest rates / rank | |||
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Revision as of 13:48, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of vulnerable options with double Mellin transforms |
scientific article |
Statements
The pricing of vulnerable options with double Mellin transforms (English)
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31 October 2014
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vulnerable option
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double Mellin transform
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Mellin convolution
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Hull-White interest rates
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