Pricing options under stochastic interest rates: a new approach
From MaRDI portal
Publication:1012319
DOI10.1023/A:1010006525552zbMath1157.91363OpenAlexW2044890552MaRDI QIDQ1012319
Publication date: 15 April 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1010006525552
Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (13)
Composition with distributions of Wiener-Poisson variables and its asymptotic expansion ⋮ On the implied market price of risk under the stochastic numéraire ⋮ Bifactorial Pricing Models: Light and Shadows in Correlation Role ⋮ Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate ⋮ ANALYTIC PRICING OF CoCo BONDS ⋮ On validity of the asymptotic expansion approach in contingent claim analysis ⋮ Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model ⋮ Asymptotic expansion for some local volatility models arising in finance ⋮ Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws ⋮ Conditional expansions and their applications. ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
This page was built for publication: Pricing options under stochastic interest rates: a new approach