THE DOTHAN PRICING MODEL REVISITED (Q3084606)

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THE DOTHAN PRICING MODEL REVISITED
scientific article

    Statements

    title
    THE DOTHAN PRICING MODEL REVISITED (English)
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    author
    Caroline Pintoux
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    Nicolas Privault
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    publication date
    25 March 2011
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    zbMATH Keywords
    interest rate models
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    Dothan model
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    PDE
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    heat kernel
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    option pricing
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    Hartman-Watson distribution
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    Bessel functions
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60J70
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    91G80
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    zbMATH DE Number
    5870038
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