Analytical formulas for a local volatility model with stochastic rates (Q2893202)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Analytical formulas for a local volatility model with stochastic rates |
scientific article; zbMATH DE number 6050004
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Analytical formulas for a local volatility model with stochastic rates |
scientific article; zbMATH DE number 6050004 |
Statements
Analytical formulas for a local volatility model with stochastic rates (English)
0 references
26 June 2012
0 references
computational finance
0 references
option pricing
0 references
interest rates
0 references
equity options
0 references
mathematics of finance
0 references
multi-factor models
0 references
stochastic analysis
0 references
0 references
0 references
0.8621637225151062
0 references
0.8529126644134521
0 references
0.8245072364807129
0 references
0.8084615468978882
0 references
0.8044818043708801
0 references
