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

MaRDI QIDQ3175931zbMATH OpenFDO

Authors Wenwen Cao, Xiangrong Wang

Publication date 18 July 2018

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)

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