Modeling of certain problems in financial mathematics: Spread option pricing

DOI10.1134/S0965542507040057MaRDI QIDQ5310985zbMATH OpenFDO

Authors K. P. Khorev

Publication date 15 October 2007

Published in Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S0965542507040057

zbMATH Keywords

forward interest rateHeath-Jarrow-Morton modelprobability theory methodsspread option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(3)

• An algebraic method for pricing financial instruments on post-crisis market
• Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
• Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations

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