Option pricing in the presence of natural boundaries and a quadratic diffusion term (Q1376239)
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scientific article; zbMATH DE number 1096360
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| English | Option pricing in the presence of natural boundaries and a quadratic diffusion term |
scientific article; zbMATH DE number 1096360 |
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Option pricing in the presence of natural boundaries and a quadratic diffusion term (English)
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11 December 1997
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option pricing
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bond options
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change-of-numeraire technique
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diffusion process
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quadratic diffusion terms
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closed-form prices
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European options
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0.7875581979751587
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0.7745371460914612
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0.7695286273956299
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