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)

zbMATH Keywords

Heath-Jarrow-Morton modelforward interest ratespread optionprobability theory methods

Mathematics Subject Classification ID

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

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Cited in

(3)

• 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
• Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations

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