Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes (Q4345919)
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scientific article; zbMATH DE number 1040333
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| English | Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes |
scientific article; zbMATH DE number 1040333 |
Statements
Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes (English)
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31 August 1997
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Heath-Jarrow-Morton model
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Poisson-Gaussian process
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interest rate options
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0.8171983361244202
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0.7728005051612854
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0.7670468091964722
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0.7625094056129456
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