Pricing of power options under Ornstein-Uhlenbeck process and Hull-White interest rate with continuous dividend

zbMATH Open1399.91107MaRDI QIDQ3175931FDOQ3175931

Authors: Wenwen Cao, Xiangrong Wang 

Publication date: 18 July 2018

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zbMATH Keywords

Ornstein-Uhlenbeck processpower optionschanges of numeraireHull-White interest rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (4)

• Title not available (Why is that?)
• The pricing of power payoffs European options with continuous dividend
• Title not available (Why is that?)
• Pricing European contingent claims under stochastic interest rate and stochastic life

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