Finite maturity caps and floors on continuous flows

DOI10.1016/j.jedc.2006.12.012zbMath1163.91422MaRDI QIDQ1029997

Rafał Wojakowski, Mark B. Shackleton

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.12.012

zbMATH Keywords

continuous flows; caps and floors; finite maturity; implied volatilities; time integral of options

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

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Cites Work

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