Valuation of correlation options under a stochastic interest rate model with regime switching (Q1690474)
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scientific article; zbMATH DE number 6827757
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| English | Valuation of correlation options under a stochastic interest rate model with regime switching |
scientific article; zbMATH DE number 6827757 |
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Valuation of correlation options under a stochastic interest rate model with regime switching (English)
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19 January 2018
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correlation option
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stochastic interest rate
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regime-switching
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forward measure
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fast Fourier transform
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0.8069449663162231
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0.7825101613998413
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0.7723809480667114
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