Path dependent options on yields in the affine term structure model
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Publication:1265769
DOI10.1007/s007800050045zbMath0913.60005OpenAlexW2037247210MaRDI QIDQ1265769
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
Characteristic functions; other transforms (60E10) Sample path properties (60G17) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Probabilistic methods, stochastic differential equations (65C99)
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