Analytical formulas for a local volatility model with stochastic rates
From MaRDI portal
Publication:2893202
DOI10.1080/14697688.2010.523011zbMath1247.91177MaRDI QIDQ2893202
Eric Benhamou, Emmanuel Gobet, Mohammed Miri
Publication date: 26 June 2012
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.523011
option pricing; interest rates; stochastic analysis; computational finance; multi-factor models; mathematics of finance; equity options
91G20: Derivative securities (option pricing, hedging, etc.)
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