AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
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Publication:5265241
DOI10.1142/S0219024915500260zbMath1337.91119MaRDI QIDQ5265241
Publication date: 23 July 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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