A Simple Stochastic Rate Model for Rate Equity Hybrid Products
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Publication:4584998
DOI10.1080/1350486X.2013.770240zbMath1396.91780OpenAlexW3125279461MaRDI QIDQ4584998
Martijn R. Pistorius, Ernst Eberlein, Dilip B. Madan, Marc Yor
Publication date: 5 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.770240
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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