Pricing derivatives with barriers in a stochastic interest rate environment (Q844767)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing derivatives with barriers in a stochastic interest rate environment |
scientific article |
Statements
Pricing derivatives with barriers in a stochastic interest rate environment (English)
0 references
19 January 2010
0 references
change of numéraire
0 references
Vasicek model
0 references
barrier option
0 references
Markovian approximation
0 references
