Local volatility for quanto option prices with stochastic interest rates (Q5217005)
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: Local volatility for quanto option prices with stochastic interest rates |
scientific article; zbMATH DE number 7171904
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Local volatility for quanto option prices with stochastic interest rates |
scientific article; zbMATH DE number 7171904 |
Statements
LOCAL VOLATILITY FOR QUANTO OPTION PRICES WITH STOCHASTIC INTEREST RATES (English)
0 references
21 February 2020
0 references
local volatility
0 references
quanto option
0 references
Dupire equation
0 references
Fokker-Planck equation
0 references
stochastic interest rate
0 references
0.9091076254844666
0 references
0.830559253692627
0 references
0.793684184551239
0 references
0.7820119261741638
0 references
0.7785757184028625
0 references
