European option pricing when the riskfree interest rate follows a jump process
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Publication:4951471
DOI10.1080/15326340008807580zbMath0960.91031OpenAlexW2031600874MaRDI QIDQ4951471
Shu-Ngai Yeung, Hailiang Yang, Allanus H. Tsoi
Publication date: 11 May 2001
Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326340008807580
Related Items (4)
Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market ⋮ Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market ⋮ Risk Minimizing Option Pricing in a Regime Switching Market ⋮ Asymptotic analysis of option pricing in a Markov modulated market
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