Pricing compound option under Ornstein-Uhlenbeck process and Hull-White rate (Q5194067)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7108505
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing compound option under Ornstein-Uhlenbeck process and Hull-White rate |
scientific article; zbMATH DE number 7108505 |
Statements
20 September 2019
0 references
compound option
0 references
Hull-White rate
0 references
exponential Ornstein-Uhlenbeck process
0 references
martingale approach
0 references
0.8336005806922913
0 references
