The pricing of quanto options under the Vasicek's short rate model (Q2808607)
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scientific article; zbMATH DE number 6584197
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| English | The pricing of quanto options under the Vasicek's short rate model |
scientific article; zbMATH DE number 6584197 |
Statements
24 May 2016
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quanto option
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stochastic interest rate
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Vasicek's model
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closed-form expression
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The pricing of quanto options under the Vasicek's short rate model (English)
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