TWO APPROACHES FOR STOCHASTIC INTEREST RATE OPTION MODEL

DOI10.4134/JKMS.2006.43.4.845MaRDI QIDQ3431360zbMATH OpenOpenAlexFDO

Authors

Publication date 10 April 2007

Published in Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4134/jkms.2006.43.4.845

zbMATH Keywords

European option pricing modelimplied volatility

Mathematics Subject Classification ID

Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited in

(2)

• On the implied market price of risk under the stochastic numéraire
• The influence of a stochastic interest rate on the n-fold compound option

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