Path dependent options on yields in the affine term structure model

DOI10.1007/S007800050045zbMATH Open0913.60005OpenAlexW2037247210MaRDI QIDQ1265769FDOQ1265769

Authors: Boris Leblanc, Olivier Scaillet 

Publication date: 25 May 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:41793

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zbMATH Keywords

Laplace transformhitting timepath dependent optionsaffine term structure

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Probabilistic methods, stochastic differential equations (65C99) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Sample path properties (60G17)

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• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections
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• Stochastic Gompertz model of tumour cell growth
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• Old problems, classical methods, new solutions
• On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance

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