Publication:3071545

zbMath1224.91172MaRDI QIDQ3071545

Jizhou Zhang, Qihong Chen, Peidong Guo

Publication date: 5 February 2011

zbMATH Keywords

option pricing; stochastic interest rate; Vasicek model; Asian quanto option

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G30: Interest rates, asset pricing, etc. (stochastic models)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences