Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level (Q6656032)
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scientific article; zbMATH DE number 7961081
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| English | Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level |
scientific article; zbMATH DE number 7961081 |
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Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level (English)
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31 December 2024
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two-factor stochastic interest rate model
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European options
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closed-form
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stochastic long-run equilibrium level
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empirical study
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0.8163612484931946
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0.7960590124130249
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0.7898241281509399
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0.7851572632789612
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0.7840632200241089
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