The pricing of Asian options under stochastic interest rates

DOI10.1080/13504869600000011zbMath0874.90031OpenAlexW1970195442MaRDI QIDQ4342180

Jørgen Aase Nielsen, Klaus Sandmann

Publication date: 3 July 1997

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://www.tandf.co.uk/journals/routledge/1350486X.html

zbMATH Keywords

Monte Carlo simulationstochastic interest ratesforward risk adjusted measurepricing of Asian options

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (5)

Catastrophe risk management with counterparty risk using alternative instruments ⋮ Pricing of Ratchet equity-indexed annuities under stochastic interest rates ⋮ Bounds for in-progress floating-strike Asian options using symmetry ⋮ Pricing rate of return guarantees in regular premium unit linked insurance ⋮ Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate

Cites Work

• Equity-linked life insurance: A model with stochastic interest rates
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure

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