Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier

DOI10.1007/S11424-019-7400-4zbMath1429.91317OpenAlexW2997001052WikidataQ126543950 ScholiaQ126543950MaRDI QIDQ2287376

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

zbMATH Keywords

reflection principlezero-coupon bondVasicek interest ratechained dynamic fund protectionstochastic protection

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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