A Simple Stochastic Rate Model for Rate Equity Hybrid Products

DOI10.1080/1350486X.2013.770240zbMath1396.91780OpenAlexW3125279461MaRDI QIDQ4584998

Martijn R. Pistorius, Ernst Eberlein, Dilip B. Madan, Marc Yor

Publication date: 5 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2013.770240

zbMATH Keywords

quantizationshort rateexponential Lévy modelslarge step simulationrate equity hybrid products

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES ⋮ A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS ⋮ Hybrid Lévy Models: Design and Computational Aspects ⋮ Efficient simulation of Lévy-driven point processes ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

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