MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL (Q3523579)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL |
scientific article |
Statements
MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL (English)
0 references
3 September 2008
0 references
generalized BGM theory
0 references
interest rate option pricing
0 references
lognormal LIBOR model
0 references
stability of the stochastic
0 references
differential equation
0 references
term structure of volatility
0 references
