A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework (Q625671)
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scientific article; zbMATH DE number 5857557
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| English | A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework |
scientific article; zbMATH DE number 5857557 |
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A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework (English)
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25 February 2011
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extremum options
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jump-diffusion model
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stochastic interest rate
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0.7728005051612854
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0.7721654176712036
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0.7665295600891113
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0.7661678194999695
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