Evaluation of the GIC rollover option (Q1333588)
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scientific article; zbMATH DE number 639404
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Evaluation of the GIC rollover option |
scientific article; zbMATH DE number 639404 |
Statements
Evaluation of the GIC rollover option (English)
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28 March 1995
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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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0.7756534814834595
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0.6750873923301697
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0.6678856015205383
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0.6668806076049805
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0.6624794006347656
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