The martingale pricing for warrant bonds under stochastic interest rate

MaRDI QIDQ2885668zbMATH OpenFDO

Authors Dan Zhu

Publication date 1 June 2012

Published in Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

zbMATH Keywords

optionsrisk-neutral valuationVasicek interest ratewarrant bond

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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