Option pricing under stochastic interest rates: an empirical investigation
From MaRDI portal
Publication:1418790
DOI10.1023/A:1021155301176zbMath1059.91044OpenAlexW6176449MaRDI QIDQ1418790
Publication date: 14 January 2004
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1021155301176
Related Items (9)
The impact of non-cash collateralization on the over-the-counter derivatives markets ⋮ Closed-form formulae for European options under three-factor models ⋮ Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model ⋮ An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods ⋮ Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method ⋮ Computation of powered option prices under a general model for underlying asset dynamics ⋮ Mellin transform method for European option pricing with Hull-White stochastic interest rate
This page was built for publication: Option pricing under stochastic interest rates: an empirical investigation
