Asian quanto options pricing under stochastic interest rate

MaRDI QIDQ3071545zbMATH OpenFDO

Authors Pei Dong Guo, Qi Hong Chen, Jizhou Zhang

Publication date 5 February 2011

zbMATH Keywords

option pricingstochastic interest rateVasicek modelAsian quanto option

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

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