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Accounting-Based Valuation with Changing Interest Rates

โœ Scribed by Dan Gode; James Ohlson


Book ID
106512165
Publisher
Springer US
Year
2004
Tongue
English
Weight
225 KB
Volume
9
Category
Article
ISSN
1380-6653

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Accounting for stochastic interest rates
โœ Alexander Van Haastrecht; Antoon Pelsser ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 366 KB ๐Ÿ‘ 1 views

factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende