Pricing rate of return guarantees in a Heath-Jarrow-Morton framework (Q1974032)
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scientific article; zbMATH DE number 1441563
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| English | Pricing rate of return guarantees in a Heath-Jarrow-Morton framework |
scientific article; zbMATH DE number 1441563 |
Statements
Pricing rate of return guarantees in a Heath-Jarrow-Morton framework (English)
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8 May 2000
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interest rate guarantees
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stochastic interest rates
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Heath-Jarrow-Morton term structure model
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maturity guarantees
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multi-period guarantees
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0.852959156036377
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0.848177969455719
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0.7817344069480896
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0.7781122326850891
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0.7587613463401794
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