Modeling of certain problems in financial mathematics: Spread option pricing

DOI10.1134/S0965542507040057zbMATH Open1210.91131MaRDI QIDQ5310985FDOQ5310985

Authors: K. P. Khorev 

Publication date: 15 October 2007

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Recommendations

• Pricing and Hedging Spread Options
• Pricing spread options with stochastic interest rates
• A numerical method for pricing spread options on LIBOR rates with a PDE model
• scientific article; zbMATH DE number 2063837
• scientific article; zbMATH DE number 7598116

zbMATH Keywords

Heath-Jarrow-Morton modelforward interest ratespread optionprobability theory methods

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (3)

• Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations
• Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
• An algebraic method for pricing financial instruments on post-crisis market

This page was built for publication: Modeling of certain problems in financial mathematics: Spread option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5310985)