Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074)

scientific article

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English	Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation	scientific article

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instance of

scholarly article

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title

Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (English)

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author

Yanyan Li

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published in

European Journal of Operational Research

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publication date

17 November 2022

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zbMATH Keywords

finance

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CTMC

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Markov chain approximation

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stochastic interest

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option pricing

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describes a project that uses

pymle

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2022.05.044

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cites work

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Identifiers

DOI

10.1016/j.ejor.2022.05.044

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2098074