LOCAL VOLATILITY FOR QUANTO OPTION PRICES WITH STOCHASTIC INTEREST RATES
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Publication:5217005
DOI10.11568/kjm.2015.23.1.81zbMath1433.91178OpenAlexW2004814102MaRDI QIDQ5217005
Publication date: 21 February 2020
Published in: Korean Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.11568/kjm.2015.23.1.81
Probabilistic models, generic numerical methods in probability and statistics (65C20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Generalized stochastic processes (60G20) Derivative securities (option pricing, hedging, etc.) (91G20) Fokker-Planck equations (35Q84)
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