Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
DOI10.1007/S11424-019-7400-4zbMATH Open1429.91317OpenAlexW2997001052WikidataQ126543950 ScholiaQ126543950MaRDI QIDQ2287376FDOQ2287376
Authors: Yinghui Dong, Chao Xu, Sang Wu 
Publication date: 20 January 2020
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-019-7400-4
Recommendations
reflection principlezero-coupon bondVasicek interest ratechained dynamic fund protectionstochastic protection
Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
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Cited In (5)
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
- Title not available (Why is that?)
- Title not available (Why is that?)
- Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model
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