Exotic put options at the diffusion bond market

DOI10.1134/S106423071001017XMaRDI QIDQ2391788zbMATH OpenOpenAlexFDO

Authors N. S. Demin, V. V. Tolstobokov

Publication date 5 August 2013

Published in Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s106423071001017x

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing interest-rate-derivative securities

Cited in

(2)

• UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
• Exotic European options with restrictions on the payoffs

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