Evaluation of the GIC rollover option (Q1333588)

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Evaluation of the GIC rollover option
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    Statements

    title
    Evaluation of the GIC rollover option (English)
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    author
    Hal W. Pedersen
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    Elias S. W. Shiu
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    publication date
    28 March 1995
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    zbMATH Keywords
    term structure of interest rates
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    martingales
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    option pricing
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    Black- Scholes formula
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    risk neutral valuation
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    forward-risk-adjusted measure
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    Identifiers

    zbMATH DE Number
    639404
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    OpenAlex ID
    W2091153729
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