Pricing derivatives with barriers in a stochastic interest rate environment (Q844767)
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scientific article; zbMATH DE number 5660308
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| English | Pricing derivatives with barriers in a stochastic interest rate environment |
scientific article; zbMATH DE number 5660308 |
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Pricing derivatives with barriers in a stochastic interest rate environment (English)
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19 January 2010
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change of numéraire
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Vasicek model
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barrier option
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Markovian approximation
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0.8324295282363892
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0.7912811040878296
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0.7872922420501709
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0.7854024767875671
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